Step 1: Moving the .CAB File to Your Windows Mobile Device
Our first step is simply transferring the .CAB file to the Windows Mobile handheld. The installer file OperaMobile9.5.cab is located on our Windows desktop (seen above).
To begin, connect the handheld to your Windows Vista PC using a USB cable or cradle. Allow the synchronization process to complete. Inside Windows Mobile Device Center, let your mouse pointer hover over the File Management option and select Browse the Contents of Your Device:

This feature is very useful; it provides access to the files stored on your Pocket PC or Windows Mobile Smartphone from inside of the Windows Vista OS.
You'll now see a Window on your screen showing the contents of your handheld. Our Fuze, as you can see, has both internal storage and a flash memory card installed:

For our purposes, we want to transfer the .CAB file to the main storage on the Fuze. With both the Mobile Device window and the desired .CAB file visible on the screen, left-click and hold the .CAB file, and drag it to the Mobile Device screen (to transfer to main storage rather than a storage card you might be using, drag it to the apprpriate location), then release the mouse button:

That's it. The file has now been transferred to the mobile device.
NOTE: If you copied the file to a subfolder rather than the root "Mobile Device" folder shown above, you'll need to note the .CAB file's folder location for the next step.
Step 2: Install the .CAB File's Software
Now that the .CAB file has been copied to your Windows Mobile device, we're ready to install the program.
On the handheld, tap Start > Programs > File Explorer. If you followed the instructions above and moved the file to the root Mobile Device window, navigate to the My Documents folder:

You should see the file you transferred in the My Documents folder. When you find it, tap it with your stylus (or, on a non-touchscreen smartphone, highlight the file and hit the OK key). The .CAB file will begin the installation process. Follow the instructions on screen, which may vary from program to program:
Your software has now been installed and is ready to use:
Final Thoughts
In some cases, opening a .CAB file and installing the software contained within will cause the file to be deleted when the installation process is complete. In other cases, you'll need to manually delete the .CAB file using File Explorer. Leaving the .CAB file in your handheld's memory will take up space, but is perfectly safe.
If you're more comfortable moving files to your Windows Mobile device using a flash memory card and a memory card reader, feel free to do so. This tutorial covered the ActiveSync method of transferring files in the interests of universality (since some users don't have card readers in their PCs).
It is also possible to download software contained within a .CAB file directly to your Windows Mobile Pocket PC or Smartphone from the Internet. If you download the .CAB file directly to your device, simply begin at Step 2 to install the software if it doesn't install automatically.