Yes,
I built a reader for my non-compliant 94 E420. Do a search... I know the instructions are out there.
Also, for compliant cars.. if you just want to read the codes, you can get readers for about $49 at either Harbor Freight or on Ebay.
Personally, I'd look at this one...
http://www.autoenginuity.com/
Runs on Palm and Laptop.