I don't really understand what all this "about
:" and "href" stuff is about

but after a couple of hours of trial and error I got BareWiki working on my device by changing
HtmStr=Htmstr & "<a href='" & SubString(wiki,x+1,y-x-1) & "'> ...
to
HtmStr=Htmstr & "<a href='
about:" & SubString(wiki,x+1,y-x-1) & "'> ...
On my WM2003 device I didn't get that "URL is incorrectly formatted" error, it just didn''t work. If I had paid due attention to your error I might have zeroed in a bit quicker. Just shows how details pay off in debugging (or should have done!).
If you have further problems note that although you might get away with assigning DocumentText in the Navigating event you might get reentrancy problems - or you might not. YMMV.
Note that one time waster I encountered was that I discovered that, on Vista at least, having the device connected to the desktop screws up Internet Explorer and the WebBrowser control - I think because the Mobile Device Center/ActiveSync drivers mess around with the network settings on the device and assign it a new IP (or something!).