Why do we use the Compact Framework?

The answer to that one is quite simple.  The Compact Framework is the future.  All future versions of the Pocket PC will have the framework installed.  Also many of the programs currently written that don't use the framework may have difficulty running on the new versions of the software.

Programs written for the Compact Framework will be easier to port to devices that utilize the framework.  

You can get the latest version of the Compact framework here.

Note that the download for the Compact Framework install is about 14 Meg.  However it only installs about 2 meg worth of files.