1. It should be the DLLs in the ARM-folder if it's an ARM CPU and the DLLs in the ARMV4i if it's an ARMV4i CPU
2. When you are debugging a Pocket PC application you are just connecting the instance of your running application to your computer. The same files needs to be present on the Pocket PC just as if you were starting the application on the Pocket PC. And the DLLs must be the correct ones for the Pocket PC's CPU and they should reside on the Pocket PC together with the application EXE-file.
3. The Pocket PC needs to run a CPU that is compatible with the DLLs. Otherwise your Pocket PC simply can't load the files.