Yeah, the MSR windscreen works great for the Pocket Rocket with the added bonus of helping to keep the canister warm (dangerous, but what isn't?). A windscreen made of 4 layers of aluminum foil works almost as good and is much lighter.
One problem with the little stove is its tippiness when cooking in a tent( dangerous, etc.) on a foam pad . A solution for this problem is setting the stove on a ziplock baggie 1/4 full of instant rice. Push the stove down onto the rice bag to create an indentation for the canister. This works great until you've eaten all the rice.
Definitely a good stove.