A good reference book to check out is "Microsoft Mobile Development Handbook" by Wigley, Moth, and Foot. It covers a lot of topics in mobile development with the .NET compact framework, and also the Windows Mobile platform.
You also might want to learn about Windows CE, which Windows Mobile is a flavor of. A good place to start learning about Windows CE is windowsembedded.com. From there you can download an evaluation version of "Platform Builder" which is the tool to create a Windows CE image to test with.
