The short story is that you need the development kit for mobiles found at:
http://www.microsoft.com/downloads/details.aspx?familyid=06111A3A-A651-4745-88EF-3D48091A390B&displaylang=en
Also you need ActiveSync to deploy your application on a mobile device found at:
http://www.microsoft.com/windowsmobile/en-us/downloads/microsoft/activesync-download.mspx
And last, after you install those, create a SmartDevice project in Visual Studio. Is that what you want or is it an ASP.NET application for mobile phones?