you still can use VS. 2003 with .NET CF 1.1, However, if your application requires .NET CF 2.0 to run, then you have to switch to V.S. 2005 + .NET CF 2.0. What language are you using? C#, VB or C++. Do you use any database, such as pocket access, SQLCE 2.0 or SQL Mobile?

Moreover, please be sure to export the right CAB files for your device. For WM 2003, I think it's ARM4, for WM 5.0, you need export the CAB file as ARM4T or ARM4I

Good Luck!