The other day when I posted about VIrtual Earth Mobile, I was using some really great software to do remote control of my device and screen capture from the PC... SOTI Pocket Controller Professional.
It's perfect for demoing Windows Mobile devices... even comes with a huge library of skins (which are updated online) so you can match the screen output from your device as its displayed on the PC to a surround which is identical, adding to the realism of the thing. Oh, and if you have a device which rotates the screen, the software auto-detects when you do that, and it redraws the skin in rotated mode - cool!
One tip: using USB/Activesync (or WMDC in Vista) as the connection method works fine for the basic show'n'tell, but some things aren't available - device connectivity can be a bit confused, since it sees the Activesync connection as a possible route to the internet, but the PC might be disconnected. Also, the actual Activesync options (eg Schedule for sync) are grayed out when connected on a cable.
I use it over a Bluetooth PAN... so I connect the device to the PC as a network adapter (doubly useful in that it puts the PC on the net too), and then connect to the IP address of the device, which is always 192.168.0.1 (since it's the gateway through which the PC will connect). That way, your PC is connected, the device is visible, and all the connectivity (such as Direct Push mail) & other options work just fine.