A Pocket PC is basically a device that runs a scaled down version of Microsoft Windows. Pocket PC's are very powerful, and can do much of what a regular PC can do. Pocket PC's do have limited storage space, and the resources aren't quite as capable as a full scale PC. So while you can play movies on a Pocket PC, it is best to compress them for optimum performance and to save space.
Get Windows Media player 9 series for Pocket PC, the Windows mobile 2003 software for Pocket PC. The software is also available as an upgrade for older devices. You'll have to check with the manufacturer of your Pocket PC to find out if you can get an upgrade.
Open MovieMaker. MovieMaker is a program that comes with Windows for making and editing movies. You can use another movie editing program, but MovieMaker is free, and has built in support tailored for the Pocket PC.
Open the movie file from within MovieMaker. On the left hand side, there is a tasks pane. Under the "Finish Movie" heading, click " Save to My Computer." Choose a name for the file, and choose a folder to save it in. Use a folder that auto syncs with your Pocket PC. Click "Next." Under "Movie Settings" click on "Show More Choices." Choose "other settings," and then select one of the pocket pc choices.
Plug in and sync your Pocket PC. When the file is downloaded, disconnect your Pocket PC, and open Windows Media player to make sure the file converted successfully.