Those three ZIP files are actually CAB files, but they have the ZIP icon because winZIP is arseociated with that file... ANYWAY.
Yes, the setup will automaticallly detect what you got plugged and install the correct one.
If for some reason it does not install, another way to install would be to copy the ARM.cab file to your Axim using the explore feature, and installing from there by clicking the file.
And i should mention, the Pocket PC uses an Xscale processor which based on the ARM processor, so anything that works on ARM will work on the Xscale...
get it, got it, good!