As I mentioned earlier (in my upcoming article for The Delphi Magazine for example), the system requirements for the Microsoft Windows CE 5.0 Device Emulator list Windows 2000 SP4 or Windows XP SP1 (or later). Unfortunately, that's a complete list, since it will simply refuse to install on Windows 2003 (with or without SP1). Which is a bummer, since I use Windows 2003 Standard Edition on my laptop (if only because SharePoint 2003 requires Windows 2003).
Obviously, I wouldn't just repeat this information if I hadn't found a solution for this issue (at last). The following are the steps required to manually install the Microsoft Windows CE 5.0 Device Emulator on Windows 2003 (at your own risk!).
Extract the setup.exe by running it with the /a command-line switch.
This will not give you the above error message, but after a while presents you with a dialog that explains that the Setup Wizard will create a server image of Microsoft Windows CE 5.0 Emulator at a specified network location. You can click Next to specify the location, which can also be on your local disk, so I've specified C:/WinCE. The result is the following list of files: