njlouch -
As far as I understand, Windows Media Player should come pre-installed on most Pocket PCs. Have you tried a hard-reset of your device (backing it up first of course!) - maybe at some point media player got uninstalled and a hard reset would restore it?
I did find this link on the MS site, it's for an upgrade to WMP on the PPC, but unforunately it needs a previous version already installed to work:
Link to WMP UpgradeAlternately, if you just want a free media player, I'd really recommend these two (better than WMP!) - I believe they can both run on older devices:
GSPlayerBetaPlayerHope this helps!
Chefz