Assuming that you have a serial port on your computer, and assuming you are using the Mobilepro sync cable, the only other thing you have to do is make sure that you have a compatible version of Activesync installed. Version 3.8 works the best. Also, in the Activesync program, under file\connection settings, be sure you have the first block checked that allows serial connections.
Lots of good info here:
http://www.hpcfactor.com/support/syncsoft/activesync/