Dictionary Reader・Get Dictionaries・Shrink Dictionaries・Install Dictionaries・Make Your Own Dictionary
First, install a dictionary reader program. I've tried and rejected almost every WM program out there. Most are terrible, and most of the ones that aren't bad work only with expensive but mediocre dictionaries sold by the program maker. The two decent programs I know of are EBPocket and Babbletower. Because the large commercial dictionaries can be converted to the format EBPocket uses quite easily, and the program itself is excellent, that's where I've put my efforts. Here are instructions for setting up EBPocket.
Now, you need to get some dictionaries. My free dictionaries are a good start (click "screenshots & details" next to each for a fuller description of each dictionary). These are based on the Edict project from Monash University and Prof. Jim Breen, extensively modified and converted to EPWING format by me. There are two Kanjidic options--choose one or the other, not both. Download them here:
(click here if you have trouble downloading; click here if you'd like to buy a memory card with these files already installed).
The best resource around is Eijiro. Eijiro combines the virtues of being cheap (1980 yen) and huge (3.4 million entries). It abounds with example sentences, current expressions (it's updated almost monthly), technical stuff, everyday stuff, formal, and colloquial (often extremely colloquial) Japanese. You can buy Eijiro already in EPWING format for 5000 yen, or you can buy it in its usual PDIC format for 1980 yen and convert it yourself--it's actually quite easy to do. If you have trouble buying or converting Eijiro, let me do it for you (as a fringe benefit, my conversion is likely to be better in a key way--see the conversion instructions for details). The complete Eijiro will eat up about 260 MB of your memory card.
You can also buy EPWING versions of most of the major commercial dictionaries on CD (best bet is amazon.co.jp). Perhaps more conveniently, from Logovista, you can download them in Logovista's own proprietary format, which can be converted to EPWING quite easily using a program called dessed (how to navigate Logovista's site to get to the dictionaries; how to use dessed). A particularly good buy is the Kenkyusha E>J and J>E dictionary for about 4500 yen and 120MB, although I don't think it'll add much if you already have Edict and Eijiro. More useful, at least for high-level students, is a good kokugo jiten like Koujien or Daijisen. Again, if you have trouble or would rather not buy and convert these dictionaries yourself, I can do it for you.
Finally, there are all sorts of EPWING dictionaries available for free online. Some of them are versions of the same dictionaries I've used (Edict, Enamdict, Kanjidic)--I think mine are quite a bit better, obviously (if I't thought what was already available was great, I wouldn't have spent months making my own). However, some of the other choices are interesting. Note that these aren't my work, I haven't even tried some of them, and therefore I can't make any promises about them. Maximilk's site is a good place to start. Some of the most useful offerings I've found:
Shrink your dictionaries. EPWING format dictionaries are huge memory hogs--use a program called EBShrink to compress the dictionaries into the much smaller .ebz format, which works just fine in EBPocket. EBShrink comes as a free helper file included in the EBWin 2.XX package, which you can find about halfway down the very long EBPocket page. EBShrink is pretty self-explanatory, but click here if you'd like instructions. Note that my dictionaries, above, are all pre-shrunk and ready to install--DON'T try to shrink them again!
Install your Dictionaries. They can go anywhere on the memory card (except My Documents); I made a convenient "EBPocket Dictionaries" folder for mine. If you install the dictionaries before starting EBPocket for the first time, it should find them automatically. To add dictionaries later, use the "Add Dictionary" function in the "Tools" menu (navigate to the "CATALOGS" file for each dictionary and click OK to tell the program where to find the dictionary). Before you can install dictionaries, though, there are some issues (nice word for "bugs") with file handling in Windows Mobile--please read this guide on how to install large files to the memory card; if you'd rather avoid the issue entirely, you can buy a memory card with the files already properly installed.
To make your own EPWING dictionaries, click here.
And the Sharp Zaurus? I don't know much about it, but I do know the Japanese versions have kanji handwriting recognition built in, and that it's supposed to work very well. There are some resources listed on Jim Breen's Japanese page. In addition, the PDIC .dic format files for Eijiro and the files I made for WDIC might run on ZPDview for the Zaurus (again, whether or not ZPDview works with recent Zaurii is unknown). There may be other programs that can run PDIC files as well--it's worth looking into. Armin Rump's excellent site (which provided the key information I needed to make my Edict files work with WDIC) has clear and useful information for using Japanese dictionaries on the Zaurus.