Make sure you're downloading programs for the correct processor. Different Pocket PCs and Handheld PCs use different processors. Sometimes a particular program isn't available for all processors; the developer's site should provide details.
If you don't know which processor you have, go into the Control Panel or Settings and look under System > About. That works fine on most systems, but some embedded systems don't have a Control Panel, so with a registry editor go to [HKEY_LOCAL_MACHINE\Ident] and you may find the device name there. The processor type (MIPS, SH3, etc) is sometimes stored in the registry.