First you have to create the parnership as pointed out by johnr. Then you have to configure the ActiveSync to connect to your computer over GPRS. You will have to configure it to find your computer by IP address or name. If you don't have a static IP address then you will need a service such as www.dyndns.org to assign a name that can be changed when your IP address changes (there are programs to automate this task).
Once you have a domain name you will configure on your Pocket PC to connect to your computer as identified. You do this on . You will have to open some ports on your firewall or create some redirections on your router. You should use Google to find what ports need to be open. A good source of ActiveSync information is here. This page lists the configuration on your Pocket PC to connect to your computer remotely.
You will need your computer always on (or at least on when you try to connect to it, of course) and with a permanent Internet connection.
Before you use this you have to make sure your device can connect to the Internet over GPRS. If you are successful then you can continue and try this connection. No point in trying this before knowing if your Pocket PC is correctly configured and actually connecting. I recommend you download and install VxUtil for testing if needed.
This feature is not available with ActiveSync 4.0 and newer. You should use ActiveSync 3.8 for this.
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