I had the same problem myself. I googled for the header and found it here:
http://doc.ddart.net/msdn/header/include/winsock2.h.html
then it required:
http://doc.ddart.net/msdn/header/include/qos.h.html
Just save those as the header files and put them into
C:\Program Files\Windows CE Tools\wce300\Pocket PC 2002\include\
That seemed to work for me. Compiled with 292 warnings and 0...
2007-08-16 16:17:39 UTC in Windows CE VNC server