Ok, the Internet Explorer on Pocket PC 2003 Second Edition is not so dumb anyway. I happened to receive a call while I was downloading a file through Pocket IE. The GPRS connection got broken and I attended the call. After the call was over, I reopened Internet Explorer. To my surprise, it popped up a dialog box asking me if I want to resume the previous download! Impressive. (This feature, I suppose is not even available in the desktop counterpart!