My recommendation is not to do it. ActiveSync works only in Windows. The emulator also works only in Windows ... all instructions are for Windows.
Nowadays computers are fast and virtual machines well developed so you can simply install Windows in a virtual machine and then install Lazarus for Windows there + the WinCE add-on
The other traditional solution is using a dual boot. I use both kinds of solutions and both work very well.
Now, if you really don't want to install Windows for whatever reason then you can adventure yourself into the following process:
1> Find binutils linux->arm-wince
2> Build a cross-compiler linux->arm-wince
3> Build the LCL with that and your program
If you manage to do it, it would be nice if you could document the process here or in the wiki because a lot of people ask. I personally won't ever try that because it is so much easier to just start Windows from a virtual machine or just reboot into Windows.