There is no built in support for managed services on the .NET CF (much like other parts of the OS such as today screen panels or software input panels aka keyboards don't support managed code).
As MusiGenesis suggested a good workaround is to simply place a GUI less executable within the startup folder as services on Windows Mobile usually don't have the need for a services manager type application to list available services and their current status etc.
If you're wanting something a little more structured or need some kind of GUI to start/stop your services you could look into the following codeplex project: Managed Services for Windows Mobile - http://www.codeplex.com/managedserviceswm. However it is essentially just adding some additional abstractions around placing something in \windows\startup\ so may not be worth it...