Historically, your error message pertains to an Outlook problem. See
here (Smart Computing) and
here (MSDN blog) for examples. That error message likely crossed over from XP/AS/O2K3 to VU/WMDC/O2K7.
There are a couple different solutions, check the links and try the suggestions. I'd be interested in how they work, please post back results. Thanks!
-Mahstah
Edit: What Pedah was talking about is the setting on the Axim in Settings-->Connections-->USB to PC. It is called "enable advanced network functionality" and it can change the PDA from a virtual network connection to a standard serial connection. No more firewall/network issues. Have you tried that?
