Your SonyEricsson phone should work. We have not tested a Samsung E250 yet, but FrontlineSMS should definitely detect that as well, even if it does not work. Have you installed the software that came with your phone for connecting over USB? For SonyEricsson I use "Sony Ericsson PC Suite". You should be able to download it from http://www.sonyericsson.com/cws/support/products although you may need to work out the phone model first. (Most SonyEriccson phones have the model written under the battery.)
As for your second question, it should be possible to connect with serial, USB, infrared or BlueTooth. Let us know how you get on :-)
Thanks for persevering! There are some connectivity issues in the version your using, but these should be fixed in the next release.
It's hard to diagnose issues like this remotely, but if you could send us the logs from FrontlineSMS we may be able to work out why this is happening. On Windows Vista, the logs should be located somewhere in your user home directory. (This will normally be c:\Users\YOUR_USERNAME\). The logs are located FrontlineSMS\logs.
The log files may be quite big, but if you zip them up (e.g. with 7-zip), they should be small enough to mail.