If you downloaded an EXE to the storm, you need to get it off and put it on your desktop. You can do this by going into options, memory, enable mass media storage. Then plug your storm into your computer and 2 drive letters will come up. One for your SD card and the other for the device memory.
Pretty sure you can install apps or games like this. Either install striaght to the storm wihtout saving it anywhere (got to an OTA link) or run it on the computer and use DM to install onto storm.