Question: how do you install apps that don't have a *.cab

[mycophiles]

Sometimes I dl an app and the app is a bunch of files with a single Opera file. (the icon is an Opera icon) How do you install these files? Do you just copy them into your program files directory?

edited:
Ok, I didn't explain well enough last time. When you have a app you have downloaded and it comes with a setup.xml file. what do you do with that?