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.
Sure, this will work, but what if you have a common map cache that you want to share with multiple projects? It wouldn't make sense to create multiple copies in each project folder. The only way around it that has worked for us is to modify the .amp file to reference the local storage path.