since it's documented in the ppc2003 sdk, i'm assuming it's part of the wm2003...however, i've not upgraded to wm2003 due to the current issues. msdn also has a download of the various platfrom gx.dll & development files
here
to be sure, really need someone w/wm2003 to use browse their ppc's windows folder using activesync and see if the find 'gx.dll'