On the Fiddler server (the machine where Fiddler is installed), open port 8888 in Windows Firewall.
Open ActiveSync > Connection Settings....
Under This Computer is connected to:, click Work Network.
Click Tools > Fiddler Options....
Ensure "Allow remote clients to connect" is checked.
If you need to click the checkbox, restart Fiddler.
On the PocketPC, set the HTTP proxy to be FIDDLERSERVER:8888, where FIDDLERSERVER is the machine name for the machine with Fiddler installed.
Connect the PocketPC to ActiveSync.