The only way I can think of offhand to delete yourself and leave no trace is to use something already present in the device- namely wceload (the CAB extractor). I'd create a simple CAB file with a custom installer DLL that does a wait and then the delete.
I'd then add the CAB to the app as an embedded resource. When you need to delete you
- extract the CAB to the file system
- execute wceload.exe with the CAB as a parameter and /noui (or /silent)
- Quit your application
The CAB then deletes your file (a named mutex could sync this better than just a Sleep call in the DLL). wceload automatically deletes the CAB (well depending on WinMo version, but there is a switch to force delete if necessary).
It's certainly a hack, but it would provide a "leave no trace" delete. Of course the CAB would probably have to clean it's own installation registry entries as well. Maybe you could just have the install return "failure" to prevent them from being written in the first place.