Pocket PC 2003 SE Emulator is connected and cradled.
Deployment successfully succeeded, but after Debug Starting:
The operation could not be completed. Device is not connected.
I have also tried:
Device Security Manager -> Windows CE Device

I have also tried to delete CoreCon\1.0 – no changes.
It sounds like the debugger is starting, so I am going to go with the assumption that this is correct.
Another assumption: This is a Forms application (not a library or other).
When you get to the line in your code that is causing the problem, look at that line to see what it is doing. It sounds like you are trying to establish some kind of connection in your constructor.
Update:
Using the information found >> HERE <<, try the following: