http://sinmin.spaces.live.com/blog/cns!456E9B12E7BE1F3A!2236.entry

Cito textualmente:

Step 1: Go to [Settings]->[Connections]->[Advanced]->[Options]
Step 2: Set “Idle disconnect after” to “30 seconds”
Step 3: With a Registry Editor, go to HKEY_LOCAL_MACHINE\Comm\ConnMgr\Planner\Settings\
Step 4: Change the value for [SuspendResume] from “~GPRS!” to “GPRS_bye_if_device_off”
Step 5: Reboot your phone

Note: If you are unable to complete step 1 and step 2 (i.e. if you are running Windows Mobile 6.0 Professional, etc.), use a registry editor and go to HKEY_LOCAL_MACHINE\Comm\ConnMgr\Planner\Settings\. Change the value for [CacheTime] to 30.