You can't use any lib which contains ARM code on the PC emulator. Everything needs to be compiled specially.
What most of the toolkits do is compile on PC using the PC VC instead of eVC using a regular window instead of GAPI however there are GAPI emulators which you can use. PocketFrog has this built-in. I'm not sure if easyce does.
The reference to 486 instead of your Athlon is nothing to worry about. It's a generic term meaning any intel based PC
I think you are making a mistake with your options. You need to have win32(WCEx86)Release (or debug) selected as active configuration not the ARM equivalent together with the PocketPC 2002 emulation device
If you look at my emulators article http://www.sundialsoft.freeserve.co.uk/pocket_frog_Ch2.htm
you will see screenshots which make this clear.