Remember that there is a gateway sitting between the phone and the Internet. Any HTTP requests that are sent to a web server will come to the web server via the gateway, so to the web server it's really replying to the gateway. The gateway then sends the response back to the phone. That said, some phones can indeed be configured to have an IP address. However, all of that is transparent to your application -- all you know and care about is that you can make an HTTP request and receive a response.
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Eric Giguere
author of:
Java 2 Micro Edition : A Professional Developer's Guide
PalmTM Database Programming: The Complete Developer's Guide