Make sure you have ActiveSync installed and use the Synchronise Files option. This will create a folder on your computer that will mirror the \My Documents folder from your iPAQ. Anything you copy to this folder on your PC will be automatically copied to your iPAQ the next time it is in its cradle. And if you delete from that folder it will be automatically deleted from your iPAQ as well.
If you want to place a file on a SD card on your iPAQ then you can cliock the Explore button on ActiveSync and navigate the file/folder structure on your iPAQ like you do on your computer.
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