I don't know if it's the right thing to do, but I just added the include and lib directories to the directory options - after the "Smartphone 2002" entries. I thought someone had suggested doing that, but I can't find the post now. And that was for the actual device - not the emulator - but it should be simialar.
i.e.
C:\Windows CE Tools\WCE300\POCKET PC 2002\ATL\INCLUDE
C:\Windows CE Tools\wce300\Pocket PC 2002\lib\arm
(I guess that would be x86 instead of arm for the emulator)