If you purchased the ePub files using the Adobe Digital Editions program, they are probably encrypted. In order to remove the DRM to read them with another program, you'll need to find the Adobe Inept script to use with Python program. (It's a complicated process, and the forum rules require that we not go into detail about it.)
However, if you can read the ePub files on a program like Stanza, or with Calibre (which are both free downloads that work for Windows, but don't run on WinCE), then you can use a program to convert the ePub into a .lit file.
I believe Mobipocket software and Calibre will both convert to .mobi format,
which can be read on WinCE with Mobipocket's reader. (You could also convert to Palm EReader, but there's no reason to do so.)