You need to look closely at the following web pages:
http://support.microsoft.com/kb/817379/en-us
explains how to configure your Exchange Server to better handle Exchange ActiveSync connections
http://support.microsoft.com/kb/886346/en-us
covers a problem that can occur if you have multiple domains on your Exchange Server
http://msexchangeteam.com/archive/2006/04/03/424028.aspx
more information about registry settings that are important for Direct Push
I've used all three of these web pages setting up not only my own personal Exchange Server, but also those of some of my company's clients, and they are all working perfectly with Windows Mobile devices and (in my case) iPhone 2.0 software with ActiveSync. They should be useful to you, as well.
You should also look into getting a proper security certificate for your server from somewhere like GoDaddy, if you don't already have one.
Hope this helps!