Yep, this is very possible! I've been doing it for weeks with my data cable. I'll try to help you out.
First you got to get your cable, which I recommend getting on Ebay, simply because you can get them much cheaper there than on some accessory sites. Try to get the serial data cable and not the USB, just so you don't have to fool around with installing drivers for the cable. If you know how to do that stuff then there's really no difference between the serial and the USB cable. Once you got that, go to this site:http://www.logomanager.co.uk/php/products.php?id=51 »
and get yourself the MoBimb program, which will allow you to drag and drop images, ringers, java games and applications into your phone's Gallery, Applications and Games ...(continues)