The following registry settings are described here:

Disable ActiveX Controls
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Internet Settings
"Security_RunActiveXControls"=dword:00000000

Enable: "Security_RunActiveXControls"=dword:00000001

---

Diable Running Scripts
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Internet Settings
"Security_RunScripts"=dword:00000000

Enable: "Security_RunScripts"=dword:00000001

---

Disable ClearType In Pocket IE
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Internet Settings
"ClearTypeText"=dword:00000000

Enable: "ClearTypeText"=dword:00000001

---

Change the Pocket IE Homepage, Version, Blank Page
HKEY_LOCAL_MACHINE\Software\Microsoft\Internet Explorer\AboutURLs
“home_0409″=”file://\\windows\\default_0409.htm“
“version_0409″=”file://\\windows\\about_0409.htm“
“blank”=”res://webview.dll/blank.htm”

---

Change the Pocket IE Search Page
HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main
“Search Page”=http://m.live.com/search/Results.aspx?q=%&mid=8001

The link can be any page you wish.

---

Change the Browser History Days

HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Main
“DaysToKeep”=dword:00001E Hex

You can increase or decrease the number of days of history stored in Pocket Internet Explorer

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Pocket Internet Explorer User Agent Strings
HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Internet Settings\5.0\User Agent
“Default”=”Mozilla/4.0″
“Platform”=”Windows CE”
“Version”=”MSIE 6.0″

You can change the version and the platform as you see fit such as to Windows XP and MSIE 7.0. However changing these strings may prevent websites from detecting your Windows Mobile device correctly.

---

For Windows Mobile 6.1 - Map Protocols to Restricted Zones

HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\ProtocolDefaults
"mailto"=dword:00000003
"wtai"=dword:00000003
"tel"=dword:00000003
"about"=dword:00000003
"javascript"=dword:00000003
"res"=dword:00000003
"wsps"=dword:00000003
"wsp"=dword:00000003
"@ivt"=dword:00000001
"file"=dword:00000001
"ftp"=dword:00000003
"https"=dword:00000003
"http"=dword:00000003

The dword can be any one of the following (from most trusted to least trusted):

Zones
1 Local Intranet
2 Trusted Sites
3 Restricted Sites
4 Internet


Note: Microsoft, OEMs and carriers do not support end users editing the registry. If you edit the regisry you do so at your own risk!

Also see the following Wiki pages:
Registry
Registry Editors
Specific Registry Settings