This question has been posted many times here. CE 5
(and 6
) doesn't seem to like most CAB files. The workaround is to extract the CAB file on the PC and then transfer the files to the device on an SD card. MSCEInf will do the extraction, even creating the destination folders for each file. MSCEInf is free and is available here:
http://www.codeppc.com/telechargements/msceinf/msceinf.htm