You can copy applications into your Windows PE build environment so that you can use them when booting bare-metal systems using Windows PE. For example, to copy an application named App.exe into your Windows PE build, you could use the xcopy command like this:
Xcopy /chery app.exe "c:\winpe_x86\base\program files\app\app.exe"
Note that this will only work if app.exe does not have any dependencies on files or components that cannot be installed on Windows PE. For example, you can't add Remote Desktop Connection client to Windows PE.
For more information on deploying Vista, see my series of articles titled Deploying Vista on WindowsNetworking.com, and see also Part 2: Deployment in the Windows Vista Resource Kit, Second Edition from Microsoft Press.