To make any WMV you have now playable on the Pocket PC follow this
Download and Install Windows Media Encoder
Here's The Link
Once you've got it installed start it up and a Wizard well appear
>Select Convert a File
>Now Select the file you want to be playable on your pocket pc in the first dialog and then where you want it outputed and named in the second, click next
>Now select Pocket PC from the list of Profiles
>Now you can select to make in standerd video which is just in the small player windows, or widescreen which plays in the entire pocket pc screen on it's side, click next after your selection
>Now put any applicable information into this prompt (optional)click next
>Now click finish and it should begin encoding
This should help you out, I never cared much for Windows Media Player on the Pocket PC, you'd be further ahead downloading Virtual Dub and the Divx Codec (serves the perpose of Windows Media Encoder) along with Beta Player (Serves the part of Windows Media Player for the Pocket PC) for the Pocket PC. To see guides for doing it that way check out the Multimedia Forum of Aximsite.