you have to first set up your connection using a usb cable. Below is from the manual.
1. Synchronize your iPAQ Pocket PC with your computer using the USB Synchronization Cable.
2. Follow your computer manufacture's instructions to install and set up an infared port.
3. Remove the cable from the iPAQ Pocket PC and line up the infrared port with the computer infrared port so they are unobstructed and within 12 inches of each other.
4. Initiate a connection by tapping Start> ActivesSync> Tools> Connect via IR. Synchronization begins on your device.
5. To disconnect, move the devices away from each other or tap X in the upper right of the screen to turn off.
hope this helps, I think ActiveSync should already be installed on the pocket PC.