First, as I described in another post, most off-the-shelf devices do not enable support for the VTune analyzer collector. Specifically, none of the iPAQ*s enable support.
Second, there are multiple flavors of the collector, each for a specific OS (WinCE 4.2 vs. PPC 2002 vs. PPC 2003). You may not have loaded the correct one. But, it doesn't really matter, even if you get the right one, it won't work.