I typically don't use the emulator either. If I run on the desktop I just compile in MSVC 6. For the PocketPC in EVC3.0, make sure that you are targeting:
Active Platform: Pocket PC 2002
Active Configuration: Win32 (WCE ARM) Release
Target: Pocket PC 2002 (Default Device)
On the Active Configuration, you could also use "Win32 (WCE ARM) Debug".
What kind of trouble are you having? Any error messages? I also use an Axim for most of my testing.