Hopefully someone will come out with a program similar to this for Windows Mobile:
http://www.scpsoft.com/
remotePROTECT (by way of sending a text message to your phone) remote wipes, locks, unlocks, tells you if the simcard has been changed and if so to what, etc. I lost my WM phone once and in less than five minutes I locked the phone by just sending a text, and then minutes later fully wiped it (including the sd card).