Quote from pchasco:

I have created an SOCKS proxy server application to run on Windows Mobile phones. A SOCKS proxy is a proxy server that is capable of forwarding nearly all types of network traffic, similar to a NAT router. It is very simple to use. Simply type in the port you would like the proxy server to listen on (defaults is 1080), then click the large “Start Proxy” button.

In order to run this application you will need the .NET Compact Framework 2.0 installed on your device.

Some applications are SOCKS-ready and others are not. ProxifierPE (shareware) and SocksCap V2 (free for personal use) will hook into any application and tunnel all of their traffic through a SOCKS proxy server.

I am *NOT* responsible for any fees charged to anyone for the use of this software. There is no warranty and no guarantee.

http://forum.xda-developers.com/showthread.php?t=414389