When you download a file with the .exe extension from a software site, it's usually an installer program that has to be run on the PC rather than on the Windows CE device. That's why you're getting the error message saying it's not a valid Windows CE application. First, you need to install ActiveSync on your PC. You can get it here:
http://www.hpcfactor.com/support/syncsoft/activesync/
ActiveSync version 3.8 is recommended.
After installing ActiveSync, run the installer file on your PC for the application you're trying to install on the Windows CE device, and it will create one or more files with the extension .cab that can usually be run on the Windows CE device to finish the installation. The .cab files are usually placed in \Program Files\Microsoft ActiveSync, but occasionally in \Program Files instead. Copy the .cab file onto an SD card and place the card in the Windows CE device's SD slot while the CE device is running. Then run the .cab file on the CE device. It may or may not run, since these CE 5 devices seem picky about which .cab files they'll run. Let us know if it doesn't, and if so we'll let you know what to do next.