If you click and download, but the install doesn't start, you may need to go to File Manger to find the .CAB file and click on it manually from your device.
View this page from your mobile device and click the link below (for WM5 and WM2003 you will need to install the additional file below as well):
2) .NET CF 2.0 for WM5 (required for WM5) .NET CF 2.0 for WM2003 (required for WM2003)