Examples of apps like these are Pocket Presence's Running Voice GSM ( http://www.pocketpresence.com/rvgsm.asp ) and SMS Manager ( http://www.pocketpresence.com/smsman200.asp ). They can't initially be installed to any kind of storage media. If, however, you move the contents of \Program Files\Pocket Presence\Running Voice GSM to anywhere else, excluding (!) \Program Files\Pocket Presence\Running Voice GSM\rvgsm.dat and \Program Files\Pocket Presence\Running Voice GSM\skins\default (with the latter app, everything except \Pocket Presence\SMS Manager\SmsManager.dat and \Pocket Presence\SMS Manager\skins), everything will work OK. (BTW, this hack was originally discovered by me and I published it at http://www.pdamania.hu/content/1840 ).
Here I've been tearing my hair out trying to figure out how to translate that article, and its all here anyway. Just tried it, worked a treat thanks.