I recently recorded a 10 minute screencast that provides straight forward directions on how to configure the Direct Push feature for Exchange Server 2003 SP2 and Windows Mobile 5 devices with the Messaging and Security Feature Pack (MSFP). Here's the link to the blog entry on the Exchange Blog site - http://msexchangeteam.com/archive/2006/05/09/427608.aspx. Here's the direct link to the video - http://msexchangeteam.com/videos/9/train/entry426996.aspx.
Also, notice that the Exchange Blog Site has changed!
MSFP for Tmobile's mda is available here (although not official, it works like a charm)