I get that message occasionally. It usually happens to me when I am tunneled in with VPN to my work network and try to connect the Axim after the VPN connection is made. Basically, what I think is happening is that the network connections are getting confused. Try opening activesync and set it so nothing syncs at all, then connect. Now disconnect again and set it to sync what you want and reconnect. That has worked for me in the past as well.
Microsoft has some articles you might want to read
Sync problem
Money sync