I\'ve installed JDK, Android SDK and Mono Android for Visual Studio 2010, I\'ve created an empty solution and I got the emulator up and running with Android 2.3.3 - so far so go
I've solved the problem - it seems that if you close the (weird) empty DOS prompt that opens when the emulator is started, the connection to the emulator is lost.
Leaving the DOS window open, everything works like a charm.