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 programs web site should provide details.
If you dont know which processor you have, go into the Control Panel or Settings and look under System > About. This will fwork 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.