I've been fighting for a few days trying to connect my HTC pro through my desktop's internet connect on Windows Vista. My mobile had no problems connecting to Windows Mobile Device Center but I couldn't access the internet.
The solution is to add a reg key to Vista:
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows CE Services] "AllowLSP"=dword:00000000
With this entry and after a restart everything was fine.