When you're in ActiveSync on your PC, click on the "Explore" button. That opens a "My Computer" type of window labeled My Pocket PC. One of the icons there is Mobile Device. When you double-click on that, you'll see a folder labeld CF Card. You can drag stuff there or copy and paste into it.
I use this feature to take large files from work to home and back . . .
Just to add to what BarryHouse said, many people find it worth getting a card reader for transferring large files (such as MP3, etc.). They are much faster than copying through ActiveSync.
If you don't feel like shelling out some money for a CF card reader, and you have your Axim setup with a Wi-Fi card, you can transfer the files via network as well, which is faster than transferring via ActiveSync too.