That initiates a connection over serial cable or infrared with a PC that has Handheld PC Explorer installed, which allows you to exchange data between the Compaq H/PC and your PC. See the links here for more information on H/PC Explorer:
http://www.hpcfactor.com/support/cesd/i/S0014.asp
There are lots of things you can do with the Compaq device
(I assume it's either a C120 or a C140
). You can type documents, keep track of appointments, tasks, and contact information useful in your daily life, write handwritten notes, and play several games. There are even a couple of programs that can generate the tone sequences needed to dial numbers on landline touch-tone phones
(you just hold the device up to the mouthpiece of the phone so that the phone can detect them
), and even a program to watch some MPEG-1 videos
(though without sound
). Browse through this section to see lots of threads about older Windows CE programs that work on this device, many of which can still be found online.