Try downloading PocketTV from
http://www.pockettv.com/
Also, pocket pc's may be unable to play mpeg-4, so do you have any way to record in another format? mpeg (1) is the standard for video at the moment, and they tend to use mpeg-2 audio. Mpeg-3 is the standard audio-only format.
Try searching the net for an mpeg converter.
I didn't know pocket media player could play mpeg files at all, must be something they added in 2003. (I have 2002)