The first time you install ActiveSync, it is possible to have the installation stopped before the usual installation screens are displayed. A small error screen appears saying the installation is interrupted mentioning no particular reasons... Or an error window displays "Setup Not Complete. The wizard was interrupted before Microsoft ActiveSync 4.x could be completely installed".
This can come from a problem with Mapi32.dll which can be too old for ActiveSync. You can try to launch "fixmapi.exe" in windows\system32 and then relaunch the ActiveSync installation.
The bad release of Mapi32.dll could come from another software like Eudora 7. In that case you should unactivate MAPI under Eudora to avoid potiental conflicts...