Read the FAQ:
Q. "I get an error called: W_LoadWadFile: couldn't load gfx.wad..."
A. Check to see that you have placed your pak0.pak.gz file in the correct location. Take a look at #5 in the install notes. Also, make sure that you have unzipped your pak0.pak.zip file. The name should look exactly like this after "pak0.pak.gz" once extracted. Note that the File Explorer on your desktop machine may be configured to "Hide Known File Extensions". Thus the .zip may be there but you can't see it. Same with your Pocket PC device. The File Explorer on it will always hide the .zip extension. Also make sure you did not create the \quake\id1 directory inside of \My Documents\. When you start browsing your Pocket PC from your PC, it will default to \My Documents\. You need to open up "My Pocket PC" to access the root \ directory.