for win mobile 5 or 6 most programs that run are cab files they can be downloaded and opened directly from the phone
most application files have to be downloaded to a computer and installed through activesync
as far as extensions that depends on what you are doing
.tsk files are today and start menu screens
avi ,amr, mid,wav,wma,mp3,h263,aac, mpeg4,bmp,gif,jpeg,are supported media files
.lnk files are link files to the programs
.dll.exe of coures executable files
txt ,ttf, pwi , xlt,xml,htm,types of text files
zip for zipped files
more can be added with the right programs
and some are not in all phones