Hooking up Microsoft Visual Studio 2008 and using the network on an emulated smartphone is a rather tricky business if you are not familiar with the procedure. Fortunately, a very good blog exists to capture this information at: Akhune's Weblog. The limitation of this of course is that you can not have your mobile device AND the emulator both connected to ActiveSync at the same time.
An Update (05/23/2008): Having used the emulator a little more, I think the key point that is often lost is the usage of the "cradle" option to dock the emulator with ActiveSync. Once you get in the habit of doing this per development session, you will find it is much easier. Also, I have not had very good results of having both my Smartphone and the Emulator cradled simultaneous and recommend using one or the other. This appears to be a pretty common issue.