PIM Backup can be downloaded
here. In that specific case, you download a Zip file with an EXE inside of it; that runs directly on your phone. Usually, Windows Mobile programs come packaged as CABs, which will install themselves and place a shortcut in the Start menu. For PIM backup, you will need to copy it onto your phone somewhere - most likely My Storage - and click on it from File Explorer. Once you launch it, all you have to do is click next, change the backup directory if you desire (defaults to Storage Card) and press next. All of the data will be backed up, and then running the program again (after a hard reset, or ROM update), choosing Restore on the first screen and browsing to the file will put back all of that data. My Phone would be easier to operate, so hopefully you can get an account set up.
Managing files on the phone might seem a bit complicated at first, but it's not. I think the problem you mentioned was that in File Explorer, you were looking at My Device - the system memory - rather than Storage Card where you copied the files. Once you get a handle around how this works, it's effortless. When connected with ActiveSync, a Mobile Device icon appears in My Computer. Double clicking that will show your My Documents folder (same as going to File Explorer, choosing My Device then My Documents). Clicking My Windows Mobile Based Device will show you the contents of My Device, and that is where you get to either My Storage (built in 8GB memory) or Storage Card (your microSD). If you download a cab to your PC, copy it to My Storage or Storage Card and then browse to it on your phone that way and click it. In File Explorer, the top left corner shows the current directory. Tapping it will always show My Storage and Storage Card at the bottom, so if that's where you copied a file with your PC, go to the appropriate location and click it. I hope that clears the whole file transfer issue up for you, if not, please post back and I'll be happy to explain further. I think you already understand most of this.
If you haven't got ActiveSync setup yet, download it from Microsoft. Also keep in mind that ActiveSync is for XP, if you are using Vista or Win7 you need Windows Mobile Device Center (and WMDC will automatically install itself when plugging in the phone for the first time). That is by far the easiest way to transfer files back and forth to the phone, rather than emailing them. It makes sense once you figure it out, I promise.