You must first export the certificate from your desktop and then copy the exported file to your Pocket PC's My Documents folder. Once there, tap on it in File Explorer and it will be added using Windows Mobile 2003's Certificates app. (Shown in Settings on the System tab.)
To export a certificate from Internet Explorer, go to Internet Options in Control Panel. Click the Content tab and then the Certificates button. Select the certificate you wish to export then click the Export button. Follow the wizard through the export steps. I always leave the export format at the default "DER encoded binary X.509 (.CER)," but I think the Base-64 encode would work, as well.
The easiest way to get the cert to your Pocket PC is to save the exported file to your synced My Documents folder. The next time you run ActiveSync, the file will be copied to your Pocket PC. From there, run File Explorer, go to the My Documents folder, tap on your certificate file, and answer "Yes" to the prompt.
Curiously, the "Personal" cert that I exported was added to the Pocket PC as a "Root" certificate, instead, even though there is a Personal tab. :?
Hope that helped to answer your question!