It may be that it just doesn't like the very short keys you're using.
I found the desktop version of that article which may help, as it has a full example.
EDIT:
The OP realised from the example that you have to tell CryptGenKey how long the keys are, which you do by setting the top 16-bits of the flags to the number of bits you want to use. If you leave this as 0, you get the default key length. This is documented in the Remarks section of the device documentation, and with the dwFlags parameter in the desktop documentation.
For the Diffie-Hellman key-exchange algorithm, the Base provider defaults to 512-bit keys and the Enhanced provider (which is the default) defaults to 1024-bit keys, on Windows XP and later. There doesn't seem to be any documentation for the default lengths on CE.
The code should therefore be:
BYTE p[64] = { 139 }; // little-endian, all other bytes set to 0
BYTE g[64] = { 5 };
CRYPT_DATA_BLOB pblob;
pblob.cbData = sizeof( p);
pblob.pbData = p;
CRYPT_DATA_BLOB gblob;
gblob.cbData = sizeof( g );
gblob.pbData = g;
HCRYPTKEY hKey;
if ( ::CryptGenKey( m_hCryptoProvider, CALG_DH_SF,
( 512 << 16 ) | CRYPT_PREGEN, &hKey ) )
{
::CryptSetKeyParam( hKey, KP_P, ( LPBYTE ) &pblob, 0 );