Just wondering what is the best way to deploy an application into a device using Active Sync / Windows Mobile Device Center? I looked into creating a CAB Project which works but I just want to know any other options to do this..
And also, how do I get so an icon is actually displayed when the application were installed into the device and shortcut is created into my device's desktop.
A CAB file is really the only option for a package that can be installed on the device. You can register the CAB with ActiveSync so that it can be automatically installed through the WMDC interface (as opposed to requiring the user copy the CAB over). The process is outlined in this MSDN article.
Getting the icon is simply a matter of creating and copying a shortcut to the appropriate directory, typically done in the CAB as well.
\Windows\Start Menuis probably the location you're after.