Is there any message attached to the exception. Sometimes for symbian devices you may see an error code like -36 in the exception. If so, the error codes are explained here.
http://www.newlc.com/Symbian-OS-Error-Codes.html
Next, have you considered on-device debugging? You can debug S60 devices over bluetooth. I think sonyE offers something similar.
What is you URL string? What is HTTP response code? Are you able to connect to the internet using the device's microbrowser?
And most importantly, does the application work in the emulator?