If you want to access an ASP.NET site on a Pocket PC, since you cannot run IIS or ASP.NET on the Pocket PC, yes, you must have some network connection to the site involved.
That said, you can certainly create a traditional Windows Forms application on the Pocket PC, and that application can use Web Services (acting as a client hitting a Web Service) to keep the local Pocket PC's copy of SQL CE up to date whenever a connection is available...