I now have partial success with Belkin adapter with XP SP2.

Here is what I did:

1. Removed everything Belkin from my laptop
2. Downloaded latest driver from Belkin site.
3. As suggested by a member in this forum, unpacked the driver and extracted data1.cab into a folder
4. Connected the adapter
5. When window pops up to locate the appropriate driver, selected "Not this time". Pointed to the driver located where data1.cab was extracted.
6. Belkin driver is now installed and ready to go.

Now, I am able to connect the Pocket PC with laptop over ActiveSync, but I see following issues:

1. The connection drops intermittently.
2. Sometimes I am not able to connect. Soft-reseting the device takes care of this problem.
3. Not able to configure internet connectivity yet.

Finally managed to finish up this little application I was writing for my son. That makes two of us very very happy :D.