There never was a good version of the Compact Framework written for Visual Studio .NET 2002 for some reason. There is an add on for that version called the Smart Device Extensions, but I never got the Windows Forms part to work. The web forms part (the Mobile Internet Toolkit) worked pretty well, but the windows forms part never went that well.
I'd upgrade to VS.NET 2003 - it's only $49. Certainly worth the money and effort. If you want to give the SDE a try, you'll have to find a copy somewhere, because Microsoft discontinued it when .NET 1.1 came out. If you can't find it, let me know, I might have a copy somewhere.
Effective Visual Studio .NET