As answered for this duplicate question...
This was a tough one for me!
As Mark said you have to put some parameters in the url to make it work on the device. You shouldn't do it by hand but use the ConnectionFactory instead.
As you may thing this would just make it work but it doesn't!
The real problem is that not the url has been altered because it has ;interface=wifi;deviceside=true in it (in my case). Depending on the webserver accepting your request this could broke the code.
A solution I tried and that works is try to happend a fake parameter like
&foo=true -> &foo=true;deviceside=true
This will result as a standard parameter for the webserver but your device would use it to driver your connection.
On the simulator this work without this extra code because behind it there is a BIS server for you. On the device (as in my case) there isn't because I'm using a development device unregistered and without SIM (just wifi).
Another point is that the HttpConnection class doesn't handle HTTP 302 Redirect and if you get one you have to handle it manually.