I'm assuming it would be the same as writing an app for the Empeg, you would have to install a cross-compiler, like Mark Lord has linked to
here. If you were to write your app in C, there is probably a toolkit for PocketPC devices, but with Java it's probably much easier. You would just have to write your app on your PC with your JVM and then get a JVM installed on your PocketPC. It would be very portable.
Initially when I wrote Palantir I looked at writing it in Waba or SuperWaba, but those VM's did not allow me the flexibility I have with C on the Palm. It is much harder to write in Java on the Palm than it is to write in C. I am not sure about the PocketPC, but it has a more powerful processor and I'd imagine the Java support is better.