Strictly speaking, there's three things you may want. Pleco does not need *any* of them, as Pleco has its own set.
Font Files - For displaying Chinese, you will need to install Chinese fonts. This can be a little tricky, and will use up several megabytes of internal storage. However, if you want to see Chinese outside of Pleco then you'll need these. You may also need to edit the registry if you're looking for a free option. They do exist, but it's not as easy as purchasing commerical software.
Input Methods - For entering Chinese. If you want to be able to input characters, you'll need this. This can come bundled with font files, but can also come separately and require you already have font files installed. If you don't have font files installed, the IME will probably install but then display only squares :-(
Code Tables - A lot of old web pages use what's called GB2312 or Big5 to 'encode' their web pages. Windows Mobile can't handle this by default, so you may need to install extra packages to deal with this. Not sure how to do it for free - only option I'm aware of is to install something like CE-Star, or buy a Chinese-language device.
So yeah. If you hunt around, you should be able to find a link to sunglobe.cab, which will install Font Files, and Font Files only - you may be able to display Chinese (if not, then you'll need to edit the registry), but you won't be able to enter anything.
You should also find links in this forum to ZTA4 or PlumSip (or whatever it's called), which are input methods that require font files to be installed separately.
If the above sounds a little on the hard side, you can install CE-Star, which provides fonts, input methods and code pages all in one. It costs money, the above solutions don't. Up to you to decide what you prefer
Or you could not bother with any of it, and accept that you'll only be able to see/input Chinese inside Pleco.
There's also a fourth option, which you may start wondering about: Displaying everything in Chinese (localizing it, as it's called), all the menus, settings, programs, etc. As far as I'm aware, that's impossible, and is essentially due to the way Windows (Desktop and Mobile) was designed. Well, it's not impossible, but it would require flashing a new ROM, so unless you're comfortable with buying a new phone if it doesn't work out, then I'd suggest avoiding it.
Hope that helps,
- ipsi