From what I just read, you can use Resco File Explorer to see shared files on a desktop in your PocketPC. I read on Microsoft's MM2003 site in their support link that Windows Media Player can play files stored on a network by typing the network path.
<a href="http://www.microsoft.com/windowsmobile/resources/support/pocketpc/support_question.asp?cid=0&tid=17&qid=2">Click this sentence for the link.</a>