Hello Ammar,
There are only a couple of reasons I can think of why an AXF would work on your desktop computer and not on your Windows Mobile Device...
1 - Size: Because Windows Mobile Devices are nowhere near as powerful as your desktop computer, if you have created an exceptionally large AXF, Windows Mobile Devices will not have the resources available to handle really large amounts of data. You may need to look at restricting the extent of your dataset or reduce the number of layers in your AXF to make your project more mobile.
2 - Corrupt Files: Could your AXF have been corrupted when it was transferred from your desktop computer to your Windows Mobile Device? What method did you use to transfer your files? Did you create a .CAB during Check-Out? Did you use an SD Card to copy the files?
If you are experienced with ArcPad, you could open your AXF in ArcPad Studio and take a sneaky peek at the XML for anything out of the ordinary 🙂
Let me know if this helps,
Hannah