Ok, so I created a great little PDA program and now its time to install it.
I saw Microsoft's white paper:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnnetcomp/html/netcfdepl.asp
I spent two nights working with it and still had lots of issues... How to install the compact framework, and the fact that you had to have the .NET framework on the machine running the install to the PDA. Doesn't make much sense.
So... I went out and downloaded Installshield Express
Holy moly was it easy and it works AWESOME.
Highly recommended