There are currently two MP3 players for the Windows CE platform, and both use the Xaudio SDK to actually do MP3 decoding/playback. The Xaudio SDK is easy to use, well documented, and FREE for personal use (you have to license Xaudio for commercial distribution).
Support for Xaudio development is good as well. Check www.xaudio.com for more information and to download the SDK.
If you really want to "roll your own", there is source for mp3 decoders around on the internet. Try www.mpeg.org for more information.