It's pretty simple Purexx.
I assume you have already connected your device to your PC and have setup a partnership so you can sync. So most programs come with a windoes installer. Connect your device, run the program and it will detect and install your program
Simple!
There is another way too. Some programs come as a "cab" file rather than a Windows Installer. If you have a "cab" foile, copy it to your memory card. Open File Explorer and find the cab file. Click on it and it will install the program on your device. After the install, you can delete the cab file (some cab files will automatically be removed but most do not).