You have to install drivers for the hardware (the pocket PC) on your main PC, so that it knows how to talk to it.
Once that is set up, you can configure ActiveSync, which uses that connection to synchronise things like calendar and contacts.
If you want a close analogy, what you're attempting is like trying to get Office to run on a PC that doesnt yet have Windows installed.
What kind of Pocket PC is it?
(of course, I could be talking b****x if Windows already has drivers for that hardware.... it's been known to happen before