You will need a registry editor to make these changes. You can download a free registry editor from http://www.phm.lu/products/PocketPC/RegEdit/. Download the Pocket PC 2002/2003 (ARM/PXA) version and install it on your mobile phone.
To change the settings follow the detailed steps listed on this page. I have listed the steps in brief. You will need to use the registry editor to make the changes.
The 1st key is DWORD CacheTime the number denotes the number of seconds to wait before the auto disconnect, by default it is 600 seconds.
the 2nd key is Multiline value / String SuspendResume which can have 2 values
~GPRS! :- 3G always On
GPRS_bye_if_device_off :- timeout after CacheTime
On my phone it was set to ~GPRS! due to which the connection was never terminated.