there is a good post by Jim Wilson
about configuring the Cellular Emulator with a Visual Studio emulator. it wasn't immediately obvious to me why anyone would need 'another' emulator running at the same time, until i read that the Cellular Emulator is actually a virtual radio chip for the phone, so you can use the phone as if you were on a 2G or 3G connection, and track the GPRS byte usage. the thing is, it wasn't really obvious (to me) how to get the data connection working. the answer is rather simple but i'm posting it here in case i forget.
You follow the steps outlined by Jim, and then go into the VS emulator and set up a new ISP connection, using "Cellular GPRS/3G", just like you would on a normal WM6 device. use a blank APN, username and password and you're good to go.