I also came from a Delphi background to pocket pc dev. Basically, don't expect to have anything working very quickly - I ended up writing many classes and types - firstly to build things like I was used to in Delphi such as IntToStr, PChar, TStringList etc, and classes to wrap the win api functionality.
Coming from Delphi I had only enough experience with the win api to do a few fancy things like weird shape forms etc and handle some mouse over etc messages. However, a good tip for you is to look at the source code that comes with Delphi for how they wrap the win api - essentially the delphi vcl library is just a collection of classes that call underlying windows functionality plus some classes they built from scratch. Their source code in conjunction with the eVC++ help and the win32 help file that ships with Delphi and the eVC++ help file has most of the answers, plus there's newsgroups like this one.
However, what do you need to develop? If you want quick results then go with .NET - you will have a powerful app up and running and talking to sql server ce databases and web services in a few hours.
