I just got OpenGL to run on my Pocket PC 2003 using Rasteroid OpenGL ES and Pelles C. Here is a tutorial I put together:
http://www.trajectorylabs.com/getting_started_with_opengl_and_pocket_pc.html
Please give it a try and let me know if it works, I'm pretty sure I included all of the steps I did.
Enjoy!
Chris