WinCE SDK is delivered with CeDebugX extension typically placed in c:\Program Files (x86)\Microsoft Platform Builder\6.00\cepb\bin\Extensions\CeDebugX60.dll for wince6 or c:\Program Files (x86)\Microsoft Platform Builder\7.00\cepb\bin\Extensions\cedebugx70.dll for wince7.

When running the target, set WinCE to breakpoint state Debug->Break All (CTRL+ALT+BREAK), then run Windows CE Command Prompt Target->Target Control (ALT+1). Now type: .load and in open dialog select above DLL file. After DLL is loaded you can type: !diagnose all for in-debt analysis of current WinCE state.

Note: if you are using Visual Studio 2008 to debug wince6, you might load cedebugx60 instead of 70:
Windows CE>.listext
Windows CE>.unload cedebugx70
Windows CE>.load c:\Program Files (x86)\Microsoft Platform Builder\6.00\cepb\bin\Extensions\CeDebugX60.dll
Windows CE>.listext

For more information and commands check link bellow.

Official link: http://msdn.microsoft.com/en-us/library/ee480021.aspx

There is also this amazing open source tool: http://sourceforge.net/projects/crtdbg4wince/
and  all other official software: http://msdn.microsoft.com/en-us/library/ee504934%28v=winembedded.60%29.aspx
and http://msdn.microsoft.com/en-us/library/aa446911.aspx
worth mentioning is Application Verifier Tool which can help in finding Handle leaks (infamous “>>>>> Completely Out Of Handles <<<<<” fix).

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