[horndoctor]

If these are exe setup files then you need to install them while you are synced with your laptop/pc.

You have to download the setup file to your pc or laptop. Then sync your device using Windows Mobile Device Center or Activesync. Then using your pc, navigate to the setup file and click on it to install .
Again, you only need to do this with exe files or installation files that specify that they must be installed through syncing .