There is an issue with Activesync 4.1 and Windows XP I've seen a couple of time now, and I'd like to pass on a workaround.
The Issue: Activesync doesn't connect to your Windows Mobile device when you plug it in using a USB cable to your PC. You've checked the settings in activesync, they allow a USB connection, and the device is also set up to allow connection to a PC.
If you look under network connections on your PC, a virtual network connection for the mobile device is created when you connect it with the USB cable. Activesync however, doesn't connect to your device.
The Microsoft Mobile site then points out that you may have an issue with the Firewall on your pc. You test this by turning off the firewall for a moment, but you still can't connect with Activesync.
To resolve: Connect your device, then open network connections on your pc. Find the network connection created when you connected your device with the USB cable. It will be listed under the "LAN or high speed Internet" heading. It will be called "Local Area Connection x" (the x will be replaced by a number), and will usually be the last connection listed.
Right click on this, and select properties. You should see in the Connect using area "Windows Mobile-based Device" In the box below this titled "This connection uses the following items", you will need to place a tick in all the boxes listed. This will re-bind the network protocols to your connection. Click OK to close the property window.
From this point on, Activesync will kick into life when you connect your device, and you should only have to do this workaround once.
Note: the problem will sometimes re-occur if you connect another device, or hard-reset your current one. I have noticed that the issue most likely occurs if you are running VPN software other than than the windows VPN on your pc.