Are you running any personal firewall software, even the Windows XP (you don't specify the OS) built-in one?
Have you tried creating a pairing between machines before trying the menus to find the AS connection?
Is the ActiveSync configured to use the COM port specified in the Local Services tab in your computer, not anything else? Don't use the ports defined on your Pocket PC as they don't have any relation with this, and don't use the Client port as defined in your computer - use noly the one defined in the Local Services.
Regarding the Network Cable disconnected, is your LAN Access service configured like image 1) or 2)?
If #1 then it could be a problem in the installation. If #2 then that's normal. It'll act like a normal LAN connection and the cable ("wireless" not connected until a client plugs in, like a real wired cable).
1.
2.
