To create a dialog that appears within the Settings application (accessible via the Windows Start menu) you could utilise the Control Panel Applet API. However this API doesn’t lend itself to writing an applet in C# or VB.NET.
As an alternative you can create a standard .NET Compact Framework Device Application. Once you have deployed your application you can place a shortcut to it within the \Windows\Start Menu\Settings folder. This will cause your application to appear within the System tab of the Settings application (as demonstrated by the “Earth” icon shown in the screenshot).
By configuring the properties of your application’s form you can get your application to appear the same way a standard control panel applet does (i.e. a title row of bold text and a 1 pixel high divider line).
When creating a settings shortcut you may need to soft reset your device to have your new option appear. One disadvantage of using this tip is the fact that you can not control which tab your application will appear on.
There is nothing stopping you from creating a shortcut to a third party application. I like moving shortcuts to system utilities such as registry editors and backup utilities into the Settings application instead of the main Programs list.