I've been thinking about this post, and realize I may have been too narrowly focused. Microsoft has had a bunch of different PDA Operating Systems besides WinCE (PocketPC, Windows Mobile, etc), and much of this post applies to them as well. But since I don't have any experience with them, I need to do some research.
I also need to explain what the various installation files are, and how they are used. Mentioning Mobipocket Desktop would also be a good idea.