I've just done a webcast, which was effectively a repeat of my MEDC'05 presentation on hosting ActiveX controls in CF 2.0. It can be seen here

Update (09/03/2005). It is apparently not entirely clear from the webcast, where the source code is. It can be found here

Update 2 (09/03/2005). The source code will not compile on beta 2 of Visual Studio because of Marshal.AllocHGlobal/FreeHGlobal that were not introduced until July CTP. Simply replace them with AllocCoTaskMem/FreeCoTaskMem

Update 3 (09/03/2005). TO be able to host WMP in Pocket PC application you must have WMP10. WMP9 did not have an ActiveX interface. Some (but not all) of the 2003SE device have WMP10. All WM5 devices will have WMP10