Please bear with this explaination as I am trying not to be too technical, but will have to in part:
PalmOS programs are one part program (prc or palm resource file) and one part database (pdb or palm database). Both of these pieces work in concert to give you what you see/interact/save on your PalmOS PDA.
Some programs are able to work with the database portion (pdb) on your SD card. For example, Bible+ reads bibles located in the /Palm/Launcher and /Palm/Programs/Bible+ directories. Some programs are even able to do both the program and database pieces on the card. But there is usually a stub left in internal memory so that it loads a touch faster.
Contrary to your PC/Mac setup, whether a program likes being run from a card or not is dependant on the program and not the operating system (PalmOS). PalmOS was originally not designed to be used the way the Treo nicely does things. Its abilities are basically a collection of hacks/extensions that have been grafted on. Managing files happens to be a big one of those areas that hasnt been skillfully addressed.
Hope that you are still with me
A way to get around this limitation is to use a type of program called a "launcher." Launchers are basically the look and feel of the interface side of the palmOS, with some neat features. Launchers not only make your device pretty to look at, but can provide teh functionality with files and memory cards that you are wishing to do. A popular launcher that would do exactly what you are looking to do is called ZLauncher (there are others, but less complex such as Facer, Silver Screen, LauncherX, Initatite, and WinLauncher).
ZLauncher, for example, can move a program to you memory card, but leave a shortcut of it in the internal memory so that it works. Some programs work better than others in this way, but its possible. Again however, its best to consult the developer of the program that you are looking to move to the card and ask them how they would recommend you put the program on your card. Sometimes, this information is contained in the readme.txt contained in the zip file that you get when you download it. Other times there are manuals or forums to help you out.
[I'll stop for now, as it was kind of a lot there for ya, hope it helps some

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