Installing Ext ROM

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ops:
Sorry if this question sound stupid to you, but I'm a newbie trying to play with my Mini.
I'd like to add some cab file from another ext ROM.
How do I install the extended ROM, which I got from ftp.
If I just click it on my mini, it always says something like the file is in ROM !
Should I put it in a MMC & how do run it ?

Can't we install all the extended ROM files in other version to another ?
Or just specific files ?