A bit late perhaps, but if someone runs into this issue, here's how to solve the problem on Windows Mobile.
After copying the wmpk to your mobile device, try to open it by clicking on it. ArcGIS Mobile wil open and ask where you want to save it (let's say, on the storage card). Then it will complain that it cannot find the mapcache. It will however create a project folder in "\Storage Card\My Documents\ArcGIS Mobile", which in turn contains a MapCache folder. Copy the mapcache (bin, db, journal) there and try to open the project again.