for me it was no trouble,
i installed the pc software, it asks to insert the usb stick and then select it from an available list of drives: (note, USB drive not shown - only hard disks, but you get the picture)
it then put a folder called 'iFiat' on the usb stick and an 'install.inf' file on there.
i then took it and plugged it in the car, engine totally off, then waited 5seconds for the light on the drive to stop flashing and then turned the ignition on to enable the electronics to work. i forget what that setting is called! then it took 10seconds or so to install, the 'voice' telling me it was installing.
my usb stick is FAT32 formatted, not NTFS or FAT.
when it had installed i put it back in my pc, the install.inf file had gone, and so too had the installation CAB stuff you mentioned.
hope some of this helps!
edit: ive got a grande punto by the way... doubt that makes a difference though.
Gavin