If you are talking about the Targus PA870, it is huge. About twice the size of the 4155. I haven't used it with the 4155, only my Dell Axim X5, which it doesn't dwarf so much. With this keyboard you will not be able to use the 4155 in portrait because of the location of the IR receiver at the bottom. You will need some sort of rotation software. It is a decent keyboard and the inclusion of a direction button and mouse pointer software, in PPC2000 at least, makes it somewhat unique. Don't know about WM2003 drivers. Personally I use the HP keyboard. It is a direct connect, but it is significantly smaller.
As far as a modem goes, there is no SD modem. The best you are going to do is a BT modem. There are two of those currently. One from Socket and one from EXP. Both can be seen at
www.mobileplanet.com. The only other option I know of is an IR modem. Those exist too, but I would think they would be horribly inconvenient given the line of sight restriction and the placement of the 4155 IR port.