The shell lightweight utility API uses the Shlwapi.dll, if this DLL is present on your pocket PC system, then you would only need to copy the Shlwapi.h header from Win to WinCE, but you would need to compile the Shlwapi.lib for pocket PC or include a .DEF file.
We would need to know the reason, why Pelle did not include it for PPC.
A moderator should move this to the Pocket PC board, I think.