Your PocketPC help file is a single file, usually with the extension ".htm". This file is located in the "PocketPC" folder below your Project folder. If your help file contains no images then this is the only file you need to distribute.
If you have any images in your project they will be automatically converted into bitmaps with the extension ".2bp". This is the only format recognised by PegHelp, the PocketPC Help Viewer. All images will placed in the "Images" sub-folder of your PocketPC folder, so to distribute any images, simply distribute the whole of the images folder.