The file can be downloaded either via your desktop PC or directly from your Windows Mobile device (with an appropriate data plan).
Once downloaded, the CAB file must run from your mobile device, so if you have downloaded to PC, copy it to your Windows Mobile handset via Activesync, and select the file to run it, following any instructions that appear on screen.
At 730kb, the finished install runs to around 4MB, making this particular mobile Facebook tool larger than some that have come before. However no other Windows Mobile application that provides access to Facebook comes with such a range of features.