Excellent example Olivier. It worked on the first attempt for me!
I have expanded your example a little to use buttons as well as the keyboard without needing the WindowsKeyboardListner. (There is nothing wrong with the keyboard listner -- I just prefer to keep things a little more compact.)
The only problem I have now is that my application will not shut down on the PDA and I have to kill the process This does not happen on Windows XP and it is executing the same shutdown code. (I have built a service with both desktop and CF versions.)