zip files are best to open them on the pc and see whats in there. sometimes some peops put a cab inside a Zip file.... i don't know why...

.cab is the common extension for installation files, open them from your device and it will prompt to install

.tsk files are windows mobile themes, put theme somewhere on the phone (a folder appropriately named "themes" works well) and open it

I'm new to the Smartphone (PC Phone) scene. My first one.
How do you install the various downloadable programs, add-ins, etc?
.zip
.cab
.tsk

???