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There are great programs and games that you can download to your PDA, and many are free. Before you download ensure that the program is compatible with your operating system Microsoft Windows Mobile 2003.
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Regardless whether the program you are downloading is in EXE or ZIP format, always download to your PC.
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On your PC: Double-click the downloaded file EXE or ZIP to install it on your PC. Make sure that you know the location. You'll end up with a CAB and maybe one or more additional files. Just copy them to your sync folder (usually located on our desktop). The next time you synchronize with your PDA, these files will be copied to your PDA. See the next section: Install/Remove programs to install on your PDA.
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As for web pages, just navigate to them on your PDA and optionally add them to your Favorite links. To have Google Search on your list of Favorite pages, for example, you can navigate to this page directly from your PDA: http://www.google.com/pda and tap Favorite => Add/Delete tab, then select Add...