A pico projector with Windows CE OS 5.0 on board? Yes, there are devices like that. Japan-based Lancerlink announced [JP] one of these today, the MPJ-104WCE. What you get is basically an LCOS (3M) projector with a mini computer built into it (the Windows CE is an English version).
The projector produces 10-30 inch pictures with 640×480 resolution and 10 lumens brightness. There are also two 0.5W speakers built into the body. But sized at just 138.5×58.5x25mm, the device also sports a Samsung ARM 9 processor at 400MHz, 64MB of internal memory (up to 4GB with an SD card), a USB port, an SD card interface and native support for MS Powerpoint, Excel and Word files.
It's also possible to view PDFs directly from the projector. Video formats supported are WMV/MPEG-4, music can be played as MP3/WMA/WAV files and pictures can be viewed as JPEGs or BMPs. Lancerlink says the battery will work for 120 minutes continuously.
The MPJ-104WCE will go on sale in Japan from the middle of next month for $580. If you're interested but live outside this country, you might want to contact the Japan Trend Shop or Geek Stuff 4 U if they can buy one for you.