It can be done, as I do it!
Virtual PC does NOT work with Active sync, but Guest PC does!
http://www.aximsite.com/boards/showthread.php?t=123052
It's a godsend. Syncing is painful so I just use an exchange server but installing most apps takes a minute or 2 max. I have found it very handy, also should allow pass through internet so egress or avantgo should work too