.pdb usually means Palm Data Base.
Generally that won't be compatible with a Windows Mobile device.
You can get software that allows the use of some Palm software, but I don't remember any off the top of my head.
If you tell us the name of the program you want to use someone may be able to point you to a WM vesion or something similar.
As to how to get files onto your X30 you will need to download
Windows Mobile Device Center and install it on your PC.
This is the software that allows your X30 and PC to talk to each other.
You might find
this tutorial on installing software useful
Also this one,
What can I do with my axim.
One thing to note, Windows Mobile Device Center is the Vista version of ActiveSync, so when you see references to AS it means in your case WMDC. The tutorials are a little old so some of the details may vary.