This link and this one give a good overview of how the security model worked in past versions of Smartphone.  Future versions of the Windows Mobile platform will allow OEMs to enable this feature for PocketPC as well.  NETCF follows the same guidelines for loading assemblies.

I've posted an article that outlines (at a high level) some of the issues that you might run into as a developer.  Let me know if you have any questions or concerns!