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there are alot of pdas / smart phones / pocket pcs out there and installing software programs is pretty much the same simple process in every one of them - Get the software - run the setup - choose where to install - follow instructions on the mobiles screen if any.
one place to find software and games for your pocket pc is
http://freewareppc.com
some very intresting games for free there.
active sync is at
http://www.microsoft.com/windowsmobile/en-us/help/synchronize/activesync45.mspx
as far as i know it doesn't work with iphone but you can try.