A simple way of looking at it is,
the different memory cards are various different shapes to fit into different devices.
Mostly they don't do anything, they just store stuff.
Sometimes it's just that different manufactures have made their own versions so that you have to buy their brand.
They are just memory cards and generally speaking, if you have a hole that it fits in it will work.
However, they keep changing things, the newest "type" is the SDHC which need slightly different "drivers" to work in your device.
These drivers (software) have been built into WM6.
Your PC may have SDHC abilities depending on what HP built into it at the time.
But if your PC doesn't have the SDHC drivers, you can buy a New Card Reader for as little as 10 dollars to plug into your PC.
SD and CF adapters are different, they do something, for example you can have a CF GPS adapter which fits in the same slot as a CF Memory card but it picks up the signal from the Global Positioning Satellites.
Form factor just means the shape and size. SD cards are smaller and easier to carry around in your wallet, whereas a CF card would fit better in a purse.
The different brands and speeds get a bit complicated.
Speed isn't a huge issue with an Axim because it doesn't read or write very fast anyway.
Cameras need fast cards so they can take pictures quicker.
The various name brands are all good, but it is still possible to get a bad card, nothing is perfect.
Be wary of cheap Ebay cards, many are fake.
Bottom line, with your Axim and WM6 you should have no problems with an SDHC card up to at least 16GB, and certainly CF 64gb, the limit is really your budget.
If you do eventually get an SDHC card you may need a new card reader for you PC.
Also, Gigi's excellent guide "
What can I do with my Axim" should give you some pointers.