Which Operating System are you using? Is it windows XP or VISTA?
You need to download Microsoft ActiveSync in case using Windows XP from:
http://www.microsoft.com/windowsmobile/en-us/help/synchronize/activesync-download.mspx

and in case of Windows VISTA and Windows 7, download Windows Mobile Device Center from:
http://www.microsoft.com/windowsmobile/en-us/downloads/microsoft/device-center-download.mspx