You need ActiveSync to transfer files and stuff, pretty irritating but that's how it goes.
Microsoft Exchange is expensive, and you'd need a server for that because the load can be pretty high even at idle. It's a business environment program that syncs all the time, meaning if you add a new contact in your addressbook on your computer it will automatically be synced on your pda, mobile and everything. Also if you are wanting to use Exchange i'd suggest you use the 2003 version and not the new 2007/2008 one, has a much higher load for really little changes, unless you want to have a AJAX exchange page ;)
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Computer:
Intel Q6600 B3 | CM2X-6400C4 x4 (4gb) Ram | Seagate 500GB | Point Of View Geforce 8800GTX | Samsung 226BW 22"
Nxs: "Tis beer o' clock "
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