The Pocket PC os does not by default contain any kind of VM. However, many of them come with Insignia's Jeode installed by the manufacturer (HP, Compaq, etc). Jeode is also installed on the Sharp Zaurus which runs Linux, not Pocket PC. Jeode is a PersonalJava compatible VM. To my knowledge, Sun only builds a PersonalJava
testing VM for use on Windows or Unix (for building and testing your apps). Sun does build a newer Personal Profile VM for use on Linux (for instance on the Sharp Zaurus) but it is not as optimized as Insignias. Personal Profile is jdk 1.3.1 compatible and someday should replace PersonalJava (which is jdk 1.1.8 compatible).
PersonalJava is not at all like midp cldc. I would suggest familiarizing yourself with the differences before you begin development.