I presume it's a .cab file?
If so connect the phone to the pc using the usb cable & drag and drop the file somewhere onto the phone.
Then on the phone find the file with file manager & select it & it should run & install.
OR
You can use the
CABviaActiveSync application that Paul created years ago over at MoDaCo to install cab's from your pc providing the phone is connected.
It's great
Edit: I obviously presume you have active sync installed (windows mobile device centre on vista)