You need to install software to your pocket pc before you'll be able to print to any printer. You will also be limited to printing only from specific applications, based on the printing software you choose to use.
ActivePrint uses a printer connection on one of your networked computers to print. You will not be able to use ActivePrint to print directly to a printer (if the designated computer is turned off, you will not be able to print). ActivePrint supports many different file types.
PrintBoy wireless printing for Pocket PC / Windows Mobile handhelds allows you to print directly to a printer via Infrared, WIFI, or Bluetooth connection. PrintBoy is somewhat limited in the file formats you'll be able to print: Word Mobile (native .doc files); Text files (.txt); Adobe PDF files (.pdf); Pocket Outlook (Mail)
I recommend that you download the demos for both of these applications and see which one works for you.