I finally got the MyVGA.dll built. I'm not sure exactly what the fix was.
I created a new OSDesign and followed some of the steps from http://download.microsoft.com/downlo..._Reference.zip
in order to setup the components and ENVs.
I also ran 'sysgen' instead of 'Build' on MyVGA. This is likely the fix because C:\WINCE600\OSDesigns\MyOSDesign\MyOSDesign\Wince6 00\MyCEPCBSP_x86\cesysgen
did not exist.
Either way, this is quite an omission for someone who is reading your book to learn Win CE 6.0 R3. Up until this point the steps were clear, but this set me back 3 days.