If you are referring to this:
http://www.sunbug.net/products/emul/PocketGBA.html
then there is a cab and an install file in the download section. if you get the cab, then you need to drop it into your phone using active sync (or download it directly from the site onto your phone). If you get the install file you need to connect your phone using activesync and then run it like a regular install. it will then install to your phone.
Sorry I forgot to add, to download it directly to your phone, put this link into PIE
http://www.sunbug.net/products/emul/....html#download
and then just click on the CAB file and save it to your memory card. Then run it and viola.