Для того чтобы установить соединение с Internet в Windows Mobile предусмотрен специальный программный интерфейс – Connection Manager API.
Пользоваться им довольно просто. И вот пример такого использования для C# и C++ приведен ниже:

C# + .NET Compact Framework

using System;
using System.Collections;
using System.Collections.Generic;
using System.Runtime.InteropServices;
using System.Threading;
using System.Reflection;

namespace GPRSConnection
{
    public class GPRSConnection
    {
        const int S_OK = 0;
        const uint CONNMGR_PARAM_GUIDDESTNET = 0x1;
        const uint CONNMGR_FLAG_PROXY_HTTP = 0x1;
        const uint CONNMGR_PRIORITY_USERINTERACTIVE = 0x08000;
        const uint INFINITE = 0xffffffff;
        const uint CONNMGR_STATUS_CONNECTED = 0x10;
        static Hashtable ht = new Hashtable();

        static GPRSConnection()
        {
            ManualResetEvent mre = new ManualResetEvent(false);
            mre.Handle = ConnMgrApiReadyEvent();
            mre.WaitOne();
            CloseHandle(mre.Handle);
        }

        ~GPRSConnection()
        {
            ReleaseAll();
        }

        public static bool Setup(Uri url)
        {
            return Setup(url.ToString());
        }

        public static bool Setup(string urlStr)
        {
            ConnectionInfo ci = new ConnectionInfo();
            IntPtr phConnection = IntPtr.Zero;
            uint status = 0;

            if (ht[urlStr] != null)
                return true;

            if (ConnMgrMapURL(urlStr, ref ci.guidDestNet, IntPtr.Zero) != S_OK)
                return false;

            ci.cbSize = (uint)Marshal.SizeOf(ci);
            ci.dwParams = CONNMGR_PARAM_GUIDDESTNET;
            ci.dwFlags = CONNMGR_FLAG_PROXY_HTTP;
            ci.dwPriority = CONNMGR_PRIORITY_USERINTERACTIVE;
            ci.bExclusive = 0;
            ci.bDisabled = 0;
            ci.hWnd = IntPtr.Zero;
            ci.uMsg = 0;
            ci.lParam = 0;

            if (ConnMgrEstablishConnectionSync(ref ci, ref phConnection, INFINITE, ref status) != S_OK &&
                status != CONNMGR_STATUS_CONNECTED)
                return false;

            ht[urlStr] = phConnection;
            return true;
        }

        public static bool Release(Uri url)
        {
            return Release(url.ToString());
        }

        public static bool Release(string urlStr)
        {
            return Release(urlStr, true);
        }

        private static bool Release(string urlStr, bool removeNode)
        {
            bool res = true;
            IntPtr ph = IntPtr.Zero;
            if (ht[urlStr] == null)
                return true;
            ph = (IntPtr)ht[urlStr];
            if (ConnMgrReleaseConnection(ph, 1) != S_OK)
                res = false;
            CloseHandle(ph);
            if (removeNode)
                ht.Remove(urlStr);
            return res;
        }

        public static void ReleaseAll()
        {
            foreach (DictionaryEntry de in ht)
            {
                Release((string)de.Key, false);
            }
            ht.Clear();
        }

        [StructLayout(LayoutKind.Sequential)]
        public struct ConnectionInfo
        {
            public uint cbSize;
            public uint dwParams;
            public uint dwFlags;
            public uint dwPriority;
            public int bExclusive;
            public int bDisabled;
            public Guid guidDestNet;
            public IntPtr hWnd;
            public uint uMsg;
            public uint lParam;
            public uint ulMaxCost;
            public uint ulMinRcvBw;
            public uint ulMaxConnLatency;
        }

        [DllImport("cellcore.dll")]
        private static extern int ConnMgrMapURL(string pwszURL, ref Guid pguid, IntPtr pdwIndex);

        [DllImport("cellcore.dll")]
        private static extern int ConnMgrEstablishConnectionSync(ref ConnectionInfo ci, ref IntPtr phConnection, uint dwTimeout, ref uint pdwStatus);

        [DllImport("cellcore.dll")]
        private static extern IntPtr ConnMgrApiReadyEvent();

        [DllImport("cellcore.dll")]
        private static extern int ConnMgrReleaseConnection(IntPtr hConnection, int bCache);

        [DllImport("coredll.dll")]
        private static extern int CloseHandle(IntPtr hObject);
    }
}

Пример использования

public void DoTcpConnection()
        {
            string t = System.IO.Path.AltDirectorySeparatorChar.ToString() + System.IO.Path.DirectorySeparatorChar.ToString();
            string url = "www.msn.com";
            bool res = GPRSConnection.Setup(Uri.UriSchemeHttp + 
                Uri.SchemeDelimiter + url + Path.AltDirectorySeparatorChar);
            if (res)
            {
                TcpClient tc = new TcpClient(url, 80);
                NetworkStream ns = tc.GetStream();
                byte[] buf = new byte[100];
                ns.Write(buf, 0, 100);
                tc.Client.Shutdown(SocketShutdown.Both);
                ns.Close();
                tc.Close();
                MessageBox.Show("Wrote 100 bytes");
            }
            else
            {
                MessageBox.Show("Connection establishment failed");
            }
        }

C++

Singleton.h

#ifndef _SINGLETON_H
#define _SINGLETON_H

template<typename T> class Singleton
{
public:
	static T & Instance()
	{
		static T instance;
		return instance;
	}
};

#endif

GPRSConnection.h

#pragma once

#include <windows.h>
#include <connmgr.h>
#include <map>
#include "Singleton.h"

class GPRSConnection : public Singleton<GPRSConnection>
{
	friend class Singleton<GPRSConnection>;
#ifndef _UNICODE
	typedef std::string StringType;
#else
	typedef std::wstring StringType;
#endif
	bool apiReady;
	std::map<StringType, HANDLE> Connections;
protected:
	GPRSConnection() : apiReady(false)
	{
		do
		{
			HANDLE apiHandle = ConnMgrApiReadyEvent();
			if(!apiHandle) break;
			if(WaitForSingleObject(apiHandle, 10000) != WAIT_OBJECT_0) break;
			CloseHandle(apiHandle);
			apiReady = true;
		}
		while(false);
	}
public:
	~GPRSConnection()
	{
		ReleaseAll();
	}

	bool Setup(LPCTSTR url)
	{
		StringType urlInternal = url;
		if(Connections[urlInternal] != NULL) return true;
		CONNMGR_CONNECTIONINFO ci;
		if(ConnMgrMapURL(url, &ci.guidDestNet, NULL) != S_OK) return false;
		ci.cbSize = sizeof(CONNMGR_CONNECTIONINFO);
		ci.dwParams = CONNMGR_PARAM_GUIDDESTNET;
		ci.dwFlags = CONNMGR_FLAG_PROXY_HTTP;
		ci.dwPriority = CONNMGR_PRIORITY_USERINTERACTIVE;
		ci.bExclusive = 0;
		ci.bDisabled = 0;
		ci.hWnd = NULL;
		ci.uMsg = 0;

		DWORD status = CONNMGR_STATUS_UNKNOWN;
		HANDLE phConnection;
		if (ConnMgrEstablishConnectionSync(&ci, &phConnection, -1, &status) != S_OK &&
			status != CONNMGR_STATUS_CONNECTED) return false;

		Connections[urlInternal] = phConnection;
		return true;
	}

	bool Release(LPCTSTR url, bool removeNode)
	{
		StringType urlInternal = url;
		bool res = true;
		if(Connections[urlInternal] == NULL) return true;
		if (ConnMgrReleaseConnection(Connections[urlInternal], 1) != S_OK) res = false;
		CloseHandle(Connections[urlInternal]);
		if(removeNode)
		{
			Connections.erase(urlInternal);
		}
		else 
		{
			Connections[urlInternal] = NULL;
		}
		return res;
	}

	void ReleaseAll()
	{
		for(std::map<StringType, HANDLE>::iterator i = Connections.begin(); i != Connections.end(); ++i)
		{
			Release(i->first.c_str(), false);
		}
		Connections.clear();
	}
};

Пример использования

void MainFrame::OnCONNECTClick( wxCommandEvent& event )
{
	TransferDataFromWindow();
	bool res = GPRSConnection::Instance().Setup(m_URL.GetData());
	if(res)
	{
		wxLogMessage(_("Connection established"));
		// Дальше здесь можно делать всякие штуки
	}
	else
	{
		wxLogMessage(_("Connection error"));
	}
}

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