You'll find detailed instructions on this thread, which several others have linked to further above: http://www.edugeek.net/forums/windows/7041-stopping-exe-files-being-run-usb-stick.html
Thanks for inviting me. I too have quite a history with WinMo and I'm pretty much firmly into the "addict" territory!
Current device is an HTC Athena x7510 (a.k.a. T-Mob Ameo 16 GB) and while it's quite LARGE to carry around I'm hooked on it.