Você tem os programas certos instalados? O 'Microsoft ActiveSync' e o 'Windows Mobile 5.0 Pocket PC SDK.msi'. Dá uma olhada no site abaixo:
http://www.microsoft.com/brasil/msdn/Tecnologias/movel/DeviceDebugVS2005_US.mspx
quanto a conexão com a internet, eu fiz da seguinte forma:
Dim server As String = "http://www.google.com"
Dim connMgr As New OpenNETCF.Net.ConnectionManager()
Dim connected As Boolean = False
connMgr.Connect(connMgr.MapUrl(server), False, OpenNETCF.Net.ConnectionMode.Asynchronous)
Application.DoEvents()
While (Not connected)
If (connMgr.Status <> OpenNETCF.Net.ConnectionStatus.Connected) Then
System.Threading.Thread.Sleep(2000)
Application.DoEvents()
Continue While
End If
connected = True
End While