I have recently developed a little Pocket PC Applikation with Visual Studio 2005. The App's purpose was to call WebServices but I had some Beginner problems establishing an Internet Connection with the VS Pocket PC Emulator until I found the following Blog Entry: http://blogs.msdn.com/vsdteam/archive/2005/10/07/478295.aspx
It helped me to establish an Active Sync Connection between my Virtual Operating System an the VS2005 Emulator and afterwards a successfull Internet Connection.