I've had a similiar problem
I eventually got around it by rebooting both laptop and phone - which the manual omits to mention. It's complicated by the fact that when plugged in it takes a couple of mins for the laptop/phone to recognise each other.
I thought I had it sorted it but it's only giving me the option of syncing with outlook express, not Outlook which is where all my contacts are.
I have had the phone about 48 hours and I'm starting to get a bit hacked off. Very little seems to be working out of the box, I have been googling workarounds almost non stop since I got it which is not really what I hoped for.
I really want this to work, it's so much better than my old WinMo phone. Come on HTC, give us some updates that sort this out