TDial Designer is a Desktop program, not PocketPC.
Here's a quick runthrough of usage...
1. Unzip a
fresh download of the zip file to a new folder on your PC.
2. If you don't have .NET 2.0 (for PC, not Compact Framework) or higher installed on your computer you will need that too in order to run TDial Designer. (should show up in windows update)
3. Run TDialDesigner.exe on your PC and it should bring up the designer (in about 3-5 secs on a newer computer).
4. After you finish editing your skin the way you like, go to File->Save As and choose a folder. It will create a sub folder in there named after the Skin Name you chose.
5. Copy all files from that folder (which should appear in the status bar) to \Windows on your PocketPC and soft-reset. You should see the new skin now on your dialer.
Let me know if that works for you. Remember to grab a fresh download of TDialDesigner.zip and start at step1 if it still gives you an error. Re-installing .Net 2.0 also fixed it for someone else.
Sorry if it's a bit of a pain without an installer right now, but it's still in beta. Once all the features that are currently in the latest b1.1.5 are working fine (unless I hear otherwise in a couple days I'll assume they are), I'll make an installer for 1.0 release that will also check for .Net 2.0 and direct you to the download for that if necessary.