Actually, I was able to find this that claimed to help “remotely” erase your phone info.  It’s worth a look. Seems like an alternative to owning a server, too much $$. Good Luck.

www.mobilesky.com – remote erase for free

Are you serious? Why do I think this is just a URL drop? A product that "runs on any phone that can connect to the Internet" - but doesn't list models? Does it run on Windows Mobile Symbian? Or does it require J2ME?

There's no word about requirements on any page. I think this product is not worth even if free.

For a real solution for Windows Mobile, look at Sprite Terminator. Sprite Terminator will send you a SMS if anyone changes the SIM card on your Pocket PC, or if it's locked. You can remotely erase the Pocket PC, or if has a built-in GPS you can ask where it is. If no GPS then it will tell you which cell tower it is connected to and what last four numbers were dialed from the phone.