There is no way to create phone call activities via Mobile Express on CRM 4.0. When you access your CRM mobile website, you can conveniently call any phone numbers you see on the form, but you can only track calls through the main CRM web. Third party mobile add-ons by some of the qualified Microsoft partners may allow this, but the deployment and setup fees may be costly.
No action buttons? How come?
I feel that this is a function Microsoft Dynamics dev team can easily create but may have left this out for its mobile partners. 😦