I've been looking at Mark Ihimoyan's excellent MSMQ for Compact Framework 2.0 posts from last year, and discovered a couple of things which may help people get started.
1. First, ensure that your device has a name other than 'pocketpc'. The msmq admin tool will need this as part of its GUID generation. The tool will not indicate this to you that this is the case unless you issue a 'verify' command.
2. Although the article says it is not needed, I had to reboot my iPaq ( running PPC 2003 ) in order to get the msmq service started.
I hope to write a few more things about MSMQ as I get further into it!