You should be able to try and run *.wgt or *.widget and it will ask if you would like to install.
Otherwise this is the best info/howto. New Cabs and Packages are there too.
http://forum.xda-developers.com/showthread.php?t=525482
"6. Look if the file "\Windows\wmwidgetinstaller.exe" exists, if not go to step 12. If it does exist, (install the enable_widgets cab) or go to step 7.
7. Download "resco explorer" or "total commander" and install one of them
8. Browse to the folder where the wgt file is located
9. Inside the browsing program select the wgt file and use the option "Open with"
10. Browse to the \Windows\wmwidgetinstaller.exe and select that file.
11. The widget should install
12. Apperently you don't have the widget engine on your rom, so you should find a rom with the whole package or try the cab below: add_widget_engine_v2.cab. This will add all the files and registry entries the widget engine uses. This is just a beta so it might not work, and might screw up your rom (small change ).
13. After the installing of add_widget_engine_v2.cab soft reset and try to install a widget
14. It should now work"