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How did you go about this:
Definitely go with CAB and MSI files. See this great article in MSDN for details. CAB files are created with Visual Studio’s Set Up projects. It is very easy to create a CAB file that contains your exe, dll and configuration files. You can instruct where these files should be copied to. You can also add registry values. Another good feature is that CAB files wont install in an incompatible platform.
With a little bit of more effort you can create a MSI installer. In it you can bundle more than one CAB files, one for every platform you want to support. Since you are not using ActiveSync, this is not much of an option for you.
For updating applications, this is another good article. Although it is old, I think that it still presents some useful ideas.
My recommendation is to use CAB files both for installation and updating the application. There is a relevant question here in SO about how to update an application over the air.