It's a little bit tricky.
A Cab file can contains other CAB files, but the installation needs to
be driven by another process because a Cab Installer is not re-
entrant. So one solution is to install the cab files and a setup
application to a temp location on the device and the Setup.dll of this
cab start a setup application that will launch the Cab installer on
the other cabs sequentially.
*** ie - http://www.yqcomputer.com/