I recently had the need to direct some traffic to a Windows Mobile device connected over Activesync, and my initial investigations turned up the fact that the device will get the ip 169.254.2.2 or 126.96.36.199 when docked.
However, if you try to communicate to these IP addresses directly, you will discover that no traffic gets through.
To work around this limitation, you need to make use of ProxyPorts, which forward ports to a mobile device connected over Activesync (or WMDC under Vista).
Setting this up, simply entails pointing your favorite registry editor at the key:
Make a new DWORD entry with a descriptive name and the port number you wish to have forwarded to the device. You will then be able to communicate with your device on that port by directing some comms traffic at 127.0.0.1 on the destop PC.