I've actually had some experience developing applications for cell phones. I've only used J2ME for those applications. Basically it's a smaller version of Java: Java MicroEdition. I found the language extremely easy to pickup since I had already done some work in Java already. There's also a Java Wireless Toolkit that can be VERY helpful in simply debugging and creating programs.

Although a majority of PDA's, Cell Phones and Mobile devices come with J2ME; there are still some devices that do not support it. So that might limit your compatability. If it's just going to be a small application (like on a cell phone) I would recommend J2ME. I'm not sure if you need all the bulk (that I assume comes with) Win CE.