There is nothing in the linked article which implies that a Microsoft-created piece of phone HARDWARE was lost or stolen. All the article states is that a phone with prototype SOFTWARE was lost or stolen.

Most of what you need to know is contained on the Defense Security Services (DSS) Information Assurance website: http://www.dss.mil/infoas/ The guiding document for DoD contractors is the National Industrial Security Program Operating Manual (NISPOM). Classified systems have to go through a formal certification and accreditation process before they will be approved for classified processing. Since your ultimate goal is to satisfy the accreditor, you should contact him/her as soon as possible to have them explain what will be required and to hear their particular areas of concern so that you can address them early in your design. Security paperwork requires considerable time to fill out, and mistake can result in long delays in accreditation, or even the rejection of your system.

However, it isn't enough to just build a system with the proper hardware and software configuration -- you also have to make sure that the physical environment and users will meet the requirements of the NISPOM. If you don't already have a facility clearance, then you have a significant issue to tackle before you can even build your system. I'm hoping that you are simply building a new computer to add to an existing classified network or house in an existing DoD closed area -- if not, you may find this to be a very daunting task.