your pocket pc should have come with a cd with Outlook 2002 and active stink. It's a white cd that is in a transparant sleeve in your 1945 box. It has the HP logo on it, and on the back is the install key for outlook.
Outlook is basicaly comparable to the PalmDesktop software. It has all you need for PIM, Agenda, email, tasks, notes etc etc.
If you install that, it will import your stuff from outlook express.
then install active stink and it should by default install the connection from your pocket pc to your emails/contacts.
Once you establish the first connection, it will ask you to setup a profile, and you can check the ones you want to go to your pocket pc.
By default, Activestink will also enable internet through USB, and you can also map shared folders on the desktop computer you got the cable plugged in to.
Also Active stink will let you install programs downloaded from sites such as
www.pocketgear.com and the like
This can also be found in the manual that should have came with your ppc
Hope this will get you going