Which Pocket PC do you have? And mention the version of the OS so we can comment.
I'd note something but with a dozen versions out there, I will not type all the possible answers.
Bob
The manufacturer suggests formatting the expansion SD and CF cards before use. I just got this pocket PC and I have yet to find any documentation or found a format utility that came with the PDA. Do I need to purchase a utility program like Pocket PC Mechanic or am I not finding the proverbial snake in the grass?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic