There are a few ways of sorting out youtube.
You don't mention what player you are having trouble installing, if we knew that we might be able to spot the problem.
Coreplayer will play youtube.
Youtubeplay is another.
There is a lot of information in the forums about using youtube, try a search.
I personally rarely use it on a mobile device so I've not bothered keeping up to speed on it.
As for Active sync, you generally need Active sync to make the connection for you in explorer, unless you have the advanced network functions working.
Best and fastest way of transfering files, ebooks, audio, movies etc is to use a card reader.
Just pop the card out of you Ax and into the reader and you can transfer anything you want at much higher speeds.
You can also use a program called
Card Export which makes your computer see your Ax as a logical drive. It is faster than the active sync connection but not as fast as a card reader.
You can also install programs without Active sync by looking for the .cab file of the program and installing it from a card directly to the Ax.