There are three main ways to install programs.
The most common is downloading an EXE or MSI file that you run on your PC that installs the program on the Q over ActiveSync.
You can also sometimes download CAB files directly to the Q and run them there to install the program.
Some very simple programs are just shipped as EXE files that you just put directly on the Q (usually in the \Program Files folder). You'll have to create your own Start Menu shortcuts for those.
There are also the variations where the above files are compressed in ZIP or RAR files, of course, but after you decompress them, the process is the same.
The third scheme is important because, if you try to run an EXE like that on Windows, you'll get a message saying the program wasn't written for Windows or something similar. If you get that message, you should try just copying the EXE file to the device and running it there.
Most EXEs are installers you run on your PC, but there are some that aren't. If somebody doesn't know that, they may just assume the download was bad and try again. When it "fails" again, they may just give up.
(thanks to Steve/Pony99CA, original post here)