Palm OS handhelds have a lovely feature - whenever you insert a memory card, they look for a file called Start.prc and - if they find it - execute it automatically(sort of like the Autostart feature found on CD and DVD media). Windows Mobile devices can do that, too - but it is a bit more difficult.

Autostarting an application on a PocketPC can be accomplished by creating the following file/folder structure on a memory card:
/2577/autorun.exe

The application file must always be called autorun.exe. The 4-number folder name defines the processor architecture(always 2577 for PocketPC) - here are numbers for other processor architectures:

HITACHI_SH3 10003 // Windows CE
HITACHI_SH3E 10004 // Windows CE
HITACHI_SH4 10005 // Windows CE
MOTOROLA_821 821 // Windows CE
SH3 103 // Windows CE
SH4 104 // Windows CE
STRONGARM 2577 // Windows CE - 0xA11
ARM720 1824 // Windows CE - 0x720
ARM820 2080 // Windows CE - 0x820
ARM920 2336 // Windows CE - 0x920
ARM_7TDMI 70001

Files are copied to the /windows/ folder and are then run from there - your Autorun application should thus be able to stand on its own….

Further information here:
http://www.informit.com/guides/content.aspx?g=security&seqNum=91&rl=1