Navigate to the C:\Program Files\ArcGIS\ArcPad10.0\Tools folder on your desktop machine and copy the files there to your ArcPad Applets folder (C:\Users\Public\Documents\ArcPad\Applets by default). Next time you fire up ArcPad, there will be a new toolbar with a tool to export your photolayer to a shapefile. Simply load your PhotoLayer into ArcPad and run the tool!!
I got the same question as Tim and I follow the method by Hannah to create the shapefile. Photos can be correctly referenced in Arcpad but not in ArcMap. I read the attribute table only the file name of image is recorded, but not the full path of the image. Do I need any check-in process before I directly read the shapefile by ArcMap?