I've been working on Rockbox for Windows Mobile for a few weeks now. So far, I've:
1) Split the Sim stuff apart and into the target tree so that you can compile "SDL" targets like would be needed for WM, iPhone, whatever.
2) Added device driver stuff in the target tree so you could talk directly to the OS's API instead of SDL for performance, or if SDL wasn't available and you didn't mind some more work porting to native APIs
3) Setup the Windows CE gcc port and managed to link against SDL in WM.
Now I'm working on getting rockbox to compile against the wince SDL with wince-gcc. I've not made much progress on this front, since I've let myself be distracted by codec optimization these past 2 weeks. If any would be Windows CE/Mobile hackers are around, they're welcome to pitch in.