it took me a while to figure out a way to have auto-connecting, always on internet in my car. the normal internet sharing apps require user interaction everytime the computer is restarted or brought out of sleep, which is annoying when the phone is stashed away hidden.
how to get the program to work is here- http://forum.xda-developers.com/showthread.php?t=377047
works on all windows mobile phones as far as i can tell. i bought a mogul for $25 shipped, it has revA speeds with an external antenna port so it works great for what i need. this same program also works on my treo pro smartphone, so i dont think there are any limitations to the software.
it also works with bluetooth or wifi connections. the usb setting is best since everything is then automatic. basically, if its enabled on the phone, and its plugged into the pc, there will be internet. this works coming out of sleep, and after a power down/power up. the only catch is the phone has to stay on even while the car is parked, but i dont have a problem with that. the draw is under 200ma while the phone is on and idle.