Using the SetupBuilder you can create two types of setup files:
Cab file - which should be copied to the device and then installed by clicking on the cab file.
Executable file - that runs from the desktop and installs the application using Activesync manager.
Both options also create a shortcut in the Programs section and add the application to the Remove Programs dialog on the device.
More information on the SetupBuilder and the components it requires (all free) can be found here: http://www.b4x.com/SetupFiles.html
The source code is also included.