The definition of wince_errno_pointer_function in wince_compatibility.h isn't "extern", which means that every file that includes Python.h will get its own copy of this variable and that causes link-time problems.
The definition:
int *(*wince_errno_pointer_function)(void);
This should be:
extern int *(*wince_errno_pointer_function)(void);
This is with python2.5 and eMebbeded Visual C++ 4.0 SP4 and compiling a C++ program that embeds python.