After you install Windows XP Service Pack 2 (SP2), you will see the following after you reboot:

You must select "Unblock".

Then, the first time you try to start ActiveSync, you'll see the following:

You must select "Unblock"

The first time you try to synchronize with Pocket Genealogist, you'll see the following:

You must select "Unblock".  It may take up to a minute for the first connection before you'll be able to press the "Start" button on the synchronize screen, but subsequent connections will be quick.