After some search, this is to make use of activesync pass through when ppc connected to usb. Changes in desktop WinXP registry.

Source

The answer to connect to the internet via Activesync 4.5 is:

Open Registry Editor on your desktop (Start/Run and type "regedit") and locate the key HKEY_LOCAL_MACHINE\Software\Microsoft\Windows CE Services. Right-click on the value list and choose New/DWORD value. Type the name "AllowLSP" and leave the value zero. Disconnect and connect your device and Pocket Internet Explorer (and all other applications) will start working.

Actually, we don't really need to go through such trouble most of the time. Nevertheless, it can be used as a troubleshooting step. Most of the time, ActiveSync passthrough will work out-of-the-box if firewall is not interfering. In most cases which I see, the problem is really with the GPRS configurations that are conflicitng/messing up with ActiveSync passthrough.

In my case, disabling the firewall did not help. This registry make the pass through working.