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Which cell phone make/model? Which computer make/model? They are all different. See you instruction manual for what connections it supports? bluetooth, serial, network, wifi, (others?) are all possible options for connecting to a cell phone, depending upon model and make.

First question is, what operating system does your cellphone run? If it's something WinCE based, piece of cake. In some cases, I doubt it is possible without reversing everything

A lot of times you can buy something from the cell phone provider for some amount of money. I would check into that. Otherwise I'm not sure where you would need to go if you have a non-palm or windows mobile device.

Normally with all phones in the last years you can connect them to your computer with whatever interface like revolution said.

If you are interested in programming for mobiles, it's quite easy to do it in 'java', I tried some small stuff on my old Sony Ericsson with the free Developement Kit from Sony Ericsson and it was quite easy...if you wanna interface it directly similar like good old serial/RS232 style I guess it's kind of hard to find information about how and what you can do...