Check the following:
In Compiler Options -> Paths -> LCL Widget Type must be wince
In Compiler Options -> Code -> Target OS must be WinCE
Target CPU must be arm
Target Processor must be (Default).
Save your project after changing the settings, then recompile.
If needed, strip the program1.exe using arm-wince-strip to make it smaller, and copy to the PNA, and try to run.
If it still does not work, try and find a different aygshell.dll replacement - it might be that the one you found does not work properly
That's about all I can suggest...
Regards, Arnold