Thank you for all your fine suggestions, but I found a different way. This is what I'm doing:
For creating a PocketPC Installer File:
I run SetupBuilder to generate the cabs and then I also click the EZSetup button to generate my PPC installer file.
For creating a Windows Installer File (for my Windows Program):
I use the freeware version of CreateInstall (found
HERE) and generate my Windows installer file that way.
Finally, I create one Installer file that merges both my PPC and Widows Installer files into one:
I use Stardust Setup Packager (this one is not free, found
HERE). I run it, follow the wizard, and generate one final Installer file.
When I run that final installer file it triggers the first Windows installer and installs the program on the computer. After that one is complete it triggers the PPC installer and sends the files over to ActiveSync. Pretty cool!