First off, you cannot run Java applets in Pocket Internet Explorer. Somebody maybe a company other than Microsoft will create a web browser for Windows CE that will support Java. For right now we have to live with just the Java VMs.
What is available are some Java Virtual Machines that will run Java applets and programs. Sun recently made available a beta copy of their PersonalJava Runtime Environment. You will find it at http://java.sun.com/products/personaljava/. Right now this product will only run on Handheld PC Professionals with MIPS processors.
A beta version of the PersonalJava Runtime Environment than runs on Compaq iPAQ Pocket PCs is available at http://developer.java.sun.com/developer/earlyAccess/personaljava/. Free registration is required in order to get to this page.