JNES will NOT work on Windows Mobile.
The JNES software is built for the x86 platform.
Windows Mobile typically uses the ARM platform. (Intel-based processors.)
Unless someone can port JNES from the x86 platform to the ARM platform...
It will not work.
If you want an emulator for the Windows Mobile platform...there are NES emulators and even SNES emulators for the ARM platform out there. You just have to find them.
A great place to start is HERE:
http://www.zophar.net
Here is a direct link to the page you'll need for NES emulators for Windows Mobile (Pocket PC):
http://www.zophar.net/ppc/nes.html
I personally had PocketNES working out pretty well. Mapping the keys can be kind of a pain in the ass on some pocket PC's, though. I had a Dell Axim X3.