As mentioned above, I'm working on a review of pD / pV for next month, along with players. I'm also on the beta team for the application - I nagged enough that they have specially added H/PC for us here in the Handheld PC community. Even have optimisations specific for HVGA's, which is greay... they have been great!
To keep a roughly the same size file you want to look at converting into DIVx on the H/PC, that is the next best supported codec to WMV
(which itself isn't supported of course
)

.
DIV's will be larger than a WMV of the same dimensions and quality though; generally speaking.
Stay Tuned!
... and welcome to the forum.