Unfortunately, Pocket PC 2003 does not want support .p12 certificate files. It prefers a Microsoft proprietary format. Fortunately, somebody reverse-engineered this format, and wrote a conversion tool to convert openssl certificates to this format. Unfortunately, Microsoft does not provide a utility to import certificates, it only provides a utility to delete certificates2.6. Fortunately, somebody wrote a tool to import those certificates into the handheld devices certificate store.
To create such a certificate, use these commands (the pvk utility can be found on http://www.jacco2.dds.nl/networking/crtimprt.html):
./demoCA/cacert.pem -nocrl -outform PEM -out usercrt.p7b
pvk -in newreq.pem -topvk -nocrypt -out userkey.pvk