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A few points that should be brought up:
1) A firewall will NOT protect you from having people intercept your data, or do much for confidentiality - in most cases, the way your system is compromised is either because someone got direct access to your files, or else you've got an unsecured device which allowed a program to be installed to act as a server, or else you've got server functions turned on.
2) What a software firewall WILL do is keep you from being pinged, inform you of any intrusion attempts or some attacks, or of programs which may attempt network access. It won't keep you from being knocked off, but it will tell you when you're being flooded.
Now, given those two points, I should note that WM5 or even WM2003 cannot run Activex or non-PPC compiled binaries which practically eliminates the spyware, virus, or Trojan angle. It does not run servers (especially if you've applied the ActiveSync fix) in the background the way a desktop Windows install does, nor will those programs allow a person access to the files on your PDA. In fact, the most they're likely to be able to do to you is knock you offline with a ping flood or similar attack, because the TCP/IP stacks and other system files in the Windows Mobile OS are fundamentally different enough that most attack programs and approaches WILL NOT WORK on Windows Mobile.
Also, even if you're on an 'unsecure' WiFi network, what you'll find is that your PocketPC will not be remotely accessed, since it doesn't run any services which allow this in WiFi, and WM5 has disabled any of the WiFi/Internet ActiveSync functionality which might have compromised your system in this fashion. You'll still have a 192.x.x.x or some other non-routable IP address which will prevent people from outside that network accessing your system, and even if someone DID manage to get into your PDA, they'd be unable to directly access File Explorer functionality unless you were stupid enough to have a FTP server or similar running in the background the whole time. And for THAT, there's file encryption tools - set aside a portion of a storage card or main memory as an encrypted folder with various tools, and that'll keep people out of your files.
You're more likely to have your WiFi packets sniffed and read, something that a firewall will not be able to protect you from. In that case, you're better off not doing anything which requires security over the WiFi network at all, especially if it's an unsecured network. However, even in this case, an outside agent will not be able to access your files unless you've set up some sort of file sharing or some sort of server with a third-party program. And even THEN, if you're using encryption software, you've nothing to worry about.
If the AirScanner firewall floats your boat, by all means spend the $29.99 - but in your shoes I'd rather buy the AirScanner Mobile Encrypter for the same price, which does what you need it to do (protect your files), or maybe Resco File Explorer.
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