Some users may find that after installing the Windows Mobile 5.0 SDKs, although no errors were reported, they just don't show up in the Visual Studio 2005 create project dialog. The reason for this is that sometimes the install script which runs near the end of setup gets blocked by anti-spyware or anti-virus software sometimes without even prompting the user.
The workaround is quite simple, you just need to locate the script and run it from the command line. Locate the folder where you installed the SDK and the Install_files subfolder. Then run the script passing the full path to the SDK and 0 (to install, if you wanted to manually remove you would pass 1). For example if you installed to the default location you'll need something like this:-
install_script "C:\Program Files\Windows CE Tools\wce500\Windows Mobile 5.0 Pocket PC SDK\" 0