MS used to give away the Development Kit for pocketPC's. Called Embeded C++ or something. I suspect it is still free.
If you have the latest visual studio I belive they have a free SDK addon for mobile devices.
A search on the web should have examples of writing games in these.
Also there is PPL from here
http://www.arianesoft.cawhich isnt free but seems to be pretty good and I think they have a free download version to try out. It actually lets you develop on the PC ( WIndows ) and if you feel the need on the Mobile machine itself.