Hi Kamax,
Did you have to reinstall the application from the website or did you already have an installation file on your phone? I would recommend removing/uninstalling the My Phone application from Settings->All Settings->System->Remove Programs and then reinstall the application by going to
http://myphone.microsoft.com/install on your phone. If the reinstallation doesn't work as expected, you could also try performing a reset on your device.
You can find more info on resetting your device here -
http://www.hardreset.eu/htc_touch_pro_2_rhodium_hard_reset_soft_reset_en.html. Just make sure to back up all the data on your phone if you decide to do a hard reset! A soft reset
should be sufficient in most cases.
Can you also tell us which service provider you are with and your current location? (For eg. Vodafone, UK or T-mobile, USA, etc)
Thanks,
Koshal