Phone Alarm for PPC/PE
No it's not a native feature of Pocket PC's in general, but there are applications that do the same thing and more.
Try Phonealarm by PocketMax. Link below.
Just make sure to download VGA specific skins.
Owned PPC Devices: XDAIIi, XDA mini, JasJar, Prophet, Wizard, Hermes, Athena, Touch, HTC Kaiser, current device I-mate Ultimate 6150...scratch that...it's now an
iPhone 3G unlocked to T-Mobile via Universal Sim unlocker V 5.8 and Jailbroken...Running FW v2.1. My iPhone sends and receives MMS's and records video without issue....what's the big fuss?