I do not know which Zaurus you have and how you received.
For my SL-5600, I need to activate the Beam Receive under the Settings Windows. Press the Start button. A Reveiving beam data window will pop up. During the file transfer, the "Receiving" word is blinking.
When the file is successfully transmitted, the Receiving' will disappear. You need to tab "Add to Files" button and slect the right storage media for the file received.
Depending on the file extenstion, the file will be automatically stored under /mnt/cf(card)/Documents/application/*, where * is the subdirectory name of the appropriate file type. For address book, it should be in "/octet-stream/ subdirectory.
I hope the above might help.