Some questions answered that took me some time to figure out...
How to get PersonalJava running
This was not my idea, I borrowed and translated it from a posting at
http://www.palmtopmagazin.de/.
That posting says that Applets do work in Pocket Internet Explorer, which is not the case.
Install the CAB file to your device
Unpack the files pjav*.* and wceCompat*.* in the directory 2.11 from the same CAB file
on your PC (using e.g. WinZIP)
Rename those files as pjava.exe and wcecompat.dll resp.
Copy them to your device into the directory .../java/bin overwriting the files with
the same names that already exist there.