Windows CE on your USB Stick : How To

Portable Windows CE is a 'launcher' for the Windows CE device emulator that can run an emulator-based image from a USB keychain.

Download the Windows CE 5.0 Device Emulator here.

Change "Mcft" in link to what it is supposed to be

Extract the emulator to a folder on your hard drive by running "setup /a". The installer will prompt you to specify a directory to extract to.
For example: D:\PortableCE

Download this launcher script.

Copy the following launcher script to the folder you extracted the setup to. You'll need to rename the file from launchce.cmd.txt to launchce.cmd

Once you have that set up, just copy the entire D:\PortableCE folder over to your USB keychain.

To launch the emulator, just plug in your USB keychain, navigate to the PortableCE folder, and run launchce.cmd. You should (hopefully) have the emulator fire up.