If I understand correctly, you'd like to share your PocketPC's internet connection with whichever computer it's attached to via a USB cable.
This should not be too hard. I'm pretty sure that the ActiveSync USB connection provices the PocketPC with an IP address that the computer can talk to. All you should have to do is set up a proxy on the PocketPC to route between its USB IP and its external IP.
The OS on the PocketPC itself doesn't seem to support that, but you could probably locate a SOCKS proxy and port it. Then set the proxy config on the attached machine and you're good to go.
