Ok. i'm stomped.

The work/internet settings are for the wireless adapter as well as modems. Go into the network settings - Start, Settings, Connections (tab), Connections, Set up my Proxy server. On the Proxy server tab, check the top box (This network connects to the Internet) but leave everything else on this page blank. On the General tab, the name should be "My Work Network." OK and then select the Advanced (tab), Select Networks and select "My Work Network" from both of the pull down lists.

I'm not sure if the iPaq has a powersave feature. Some PPCs do and this can cause the 'cannot connect' error so try to disable it.

Also, the 'welcome screen fix' works in some cases:
Open File Explorer
Go to Windows Folder
Scroll Down to the "W"s
Click on Welcome.exe
You will go through the welcome screen like you did when you first got your PPC (Note: Even though this will take you through the same process like after a hard reset, this is not the same as a hard reset. Your data/programs will not be lost).

These setting made no difference in my attempt to connect to the internet via my office wireless router.
Haaarumpf!