I forked out the $4.99/month to turn on unlimited T-zones to see if it's all working. And lo and behold, it is. Painfully slow (still waiting for my msn.com home page to appear after it went off to MS passport) but the fact it knew to connect to passport shows it did actually get the data from the page. Still, at well over a minute (so far) to load my home page, it's not too hot!
I guess I'll do some experiments to see if the speed I get is actually sufficient for some of the uses I'm considering putting this to in my car computer.
Here's the full list of what I did to get this installed:
Got phone connected to PC by IR.
Installed EasyGPRS and configured it to use the phone.
Set proxy settings in IE for the EasyGPRS network connection as above.
Set phone settings to the same IP (*#VSWAP# on my phone - they *may* now be back to the defaults but I can't find the document I stored the original settings in).
Hmm, that msn.com home page still hasn't turned up. Maybe it's not working as well as I hoped. Ah no, I got www.microsoft.com to appear in parallel in a more sensible amount of time. So I guess it's just the my.msn.com home page is strange in some way (maybe just really complicated).