I have a centro, and I can't do it either. Go to Palm's website. I forget the exact wording, but I think you would need to install opera mini and Palm doesn't support that anymore.
chess.com on Palm Treo

I didn't try just "opera". Type opera mini into the search on the palm site. There's a forum with info about how others have same problem. I think it's because of something with the opera and java script not being supported. I'm not a techie so I don't understand why. I do know that I won't for me though.

Woo-Hoo!!!
Just got Chess.com Mobile working on my Treo 700WX today!!!
Here's what I've found fellow Treonauts.
for Windows Mobile phones you need to install this .cab (http://dc96.4shared.com/download/47265780/28d78a15/Cloudyfa_EsmertecJbed.cab?tsid=20090212-205024-d97c9437)
This will install the Cloudy FA Esmertec JBED as the Windows Mobile Version 5.0 and less doesn't come with a Java emulator.
Once you've downloaded and installed the above .cab (btw, .jar/.jad files will not install on WMV 5.0), then go to chess.com/mobile and download/install the .jad file.
FYI, WMV 5.0 IE version cannot use chess.com regular links as the Java is not support on that version of IE or the OS.
If you guys need any helps, please PM me.
Cheers.
Has anyone gotten this to work? I have a Treo 700 and can't get the program installed.