It seems like you are opening "CAB" files ( check their file extensions). These type of files, you just load onto you phone, preferably into your internal storage folder., then click on them to load them.
The simplest way to do this is to load up ACTIVSYNC from your cd rom, or download it, and connect your phone via the usb lead. When activsync is loaded, (you might have to do a reboot of your pc)choose activsync connection on your phone, when it comes up, then go to acivsync on your pc and click on explore. This will open up all folders on you phone. Navigate to your internal storage folder and copy the CAB file over. You can right click and make a new folder and name it same as the program or game.
Then go to this folder on your phone and click on it (the CAB file) and it will automatically load in. Use file explorer on your phone.
If the files that you download arnt cab files just copy then over to your phone, in the internal storage folder and execute them from your phone.
All ringtones go into the "ringtone" folder.
Hope this helps.......Nitro