You need to put them in a particular place.  
In the root (main folder/part) of your SD Card, you need to create a directory called 
pandora and inside that directory four more, named 
desktop (which will make the PNDs appear on the desktop if you're using Xfce, from where you can start them by double-clicking them), 
menu (this causes PNDs to appear in the menu in Xfce, where you can simply click them to run them), 
mmenu (note the extra "m" - if you use Minimenu, my understanding is that this will cause PNDs to appear only there), and 
appdata (this is where various bits of save-data from PND programs goes, and sometimes you might have to drop data files in here).
I don't *think* you can run them from the file-manager at this time, but I may be mistaken. (If you can't, I'm pretty sure there's a tweak that can be done for it, though.)
EDIT: Ninja'd.  

h34r: