In the .net compact framework 1.0 if you want to generate a GUID, there is no class/struct that can help you do that. So you have to come up with your own ways. One good example can be found in this article on msdn. Now in the latest .net cf version 2.0, the System.Guid struct has been added which works just like its desktop counterpart.
Now why would u want to generate guids while programming for pocket pc? Thats a long (actually short) story that I'll blog about some time in the future.