I apologize, I should have asked you what your current ROM was before we started.
You do need to flash WM5 first before you can flash WM6.
Let's start from the beginning, disregard anything that Read Me file as now, because I was under the assumption that you already have WM5. You preferably should have Windows XP and Activesync installed and synced for this to work. If you have Windows Vista or Windows 7 and Windows Mobile Device Center installed, we would have to this the hard way.
To start off, you need to back up all personal data files and settings. Most programs cannot be backed up because of their registry use. You can do things manually by syncing your Axim and copy+pasting all files to your computer. Or you can use shareware (I can't think of any freeware, sorry) such as
SPB Backup. SPB has a trial that you can install and uninstall later.
After that, tell me what Operating System you are using on your PC (XP, Vista, or Win 7) so we can continue.