The phones did subscribe to data service and they did prompt to approve the network connection. I did check the server log file and there is no incoming connection, the log file does get an incoming connection from the emulator. Could it be the connection? I changed the http link in the code so it would download an image from www.o2.co.uk and the phone downloaded the image. Or is there some problem with the server?
Have you checked that your server is accessible from the Internet (i.e. outside of your own network)? Are you using a non-standard port in the URL (I know some operators don't allow access to ports other than 80 and 8080)?