I will give you a bit more detail than nautica did.
Yes look for files that end in .cab. You can download them from your computer and transfer them with activesync or mobile device center which ever you use. You can also download them straight to your phone over the air. Pnce they are on your device go to programs, file explorer. Find the file wherever you put them on the device. I usually put mine in a folder called programs on my storage card. Click on the cab file to run them.
There are also files that end in .exe that you can install but it has to be done from your computer with the device attached and active sync/mdc running (not syncing.)
If you download something here that is zip or rar open it up and go from there.
This is a good site to go to from your device, cabs only and a good format for pocket ie.
http://www.freecabs.de/
This site has a lot of free software as well
http://www.freewarepocketpc.net/
Once the program is installed it should be found in the programs folder under the start menu. If it is a today plugin go to settings, today, and there is a tab that says items. That is where your today plugins are.