Tap back through the folder hierarchy until you're in internal memory's My Documents folder. Tap and hold down on a blank line space until the edit menu pops up, and then tap Paste. That's what Mac users have to deal with. I wanted to be able to install new software on my Pocket PC without using ActiveSync. However, this turned out to be more complicated than the simple file transfer described above.
Most software programs come as an installation program.
You need to connect your Pocket PC to your desktop PC using ActiveSync and run the installer. However, some programs come ready to run with no installer. You can then use File Explorer on your Pocket PC to find that application and tap on the .exe file to run it. Doing so lets your program show up in the Start menu or in the Programs screen that is available from the Start menu. Note also that some programs download from the Web as zipped files.