http://community.opennetcf.com/forums/p/10591/65820.aspx
One of the essential skills for any Windows Mobile and/or Windows CE developer working with the .NET Compact Framework is to understand the techniques required to use Platform Invocation Services (P/Invoke). This is the process of calling native API methods, such as the Extended TAPI functions mentioned, from managed code.
Here's a tutorial on MSDN to get you started: http://msdn.microsoft.com/en-us/library/aa288468(VS.71).aspx
There's a registry key at HKEY_LOCAL_MACHINE\Services\USSD\ that points to the USSD server DLL. It might be possible to specify your own DLL to listen for USSD instructions. It's not something I've ever tried.