PCLinuxOS is a very "self-contained" distro, and while it has a large package repository that the user can access it does not come with a default tool that one can use to install packages that are outside the PCLinuxOS repositories. In other words, you can't install Crossover with the Synaptic Package manager in PCLinuxOS.
That said, PCLinuxOS is an rpm-based distro, and users with at least a little experience using the Terminal can install Crossover from the .rpm package via the following command:
$ rpm -ivh crossover-pro-9.2.0-1.i386.rpm
(even if you have no terminal experience, this is a good opportunity to learn!)
You can also install Kpackagekit (a graphical package installation tool) from Synaptic, and then use Kpackagekit to install Crossover from the rpm (though using rpm commands in a terminal is much faster)