One option is to write an (background) application that installs a low level keyboard hook using the Win32 API SetWindowsHookEx.
A sample that shows how to do this in .NET CF can be found here: http://blog.opennetcf.org/ayakhnin/PermaLink,guid,84b95802-76d7-499c-b266-e2251ab15706.aspx
A native C++ sample is here: http://www.codeproject.com/KB/mobile/wincekbhook.aspx
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