As well as taking a look at the posting on Jason Langridges blog I mentioned earlier,  I would also recommend taking a look at the posting made recently by the Exchange team in Redmond.

It goes into a fair bit of detail about how Direct Push works but there are some points I would like to highlight here

• Direct Push doesnt work over wifi
• Only the front end servers require SP2 for Direct Push to work.  We do however recommend you install SP2 onto all your Exchange servers
• For Backend server to notify your Frontend servers of new email,  they need to have port 2883 open (this can be changed)
• The minimum and maximum heartbeat interval length can be configured,  by defaults its 1 and 45 minutes.
• Some configuration may need to be done to your firewall in order to make the most of Direct Push and its ability to tweak the connection between your device and Exchange

There is a lot more information on the posting too so I highly recommend you taking a look when you get a chance!