I've tried compiling and using a dll from the net for a Pocket PC and, even if the compilation of the source worked, when trying to add it as a reference, I got an error and the dll would not show in the references. However, a lot of other errors occurred later on, as if the dll was still referenced. Reading the csdproj file directly, I noticed that the reference to the dll was there, but that every time the project was loaded, the same error occurred and the reference did not show. The only solution is to remove with a text editor the XML entry from the csdproj file.
Also, VS2003 hangs periodically after a few debug-deploy cycles, usually when trying to stop debugging, using 100% CPU and freezing. This might also be related with version 2.0 of ReSharper which I have installed, but somehow I doubt it, cause I love the guys at JetBrains! :) The only solution is to kill the process, which will close VS2003, then restart it and reload the project.
Another issue is with the file on the Palm being in use while you try to deploy. The solution is to get to the Palm Control Panel, go to Memory, select the Running Programs, kill any program that has the same name as the program you want to deploy and anything that looks like "Client".
There are other issues, but I don't care to remember them all B-)