Another option would be to use GoogleSync. It just uses a simple exchange connection in WinMo to push contacts from the device to the phone and vice versa. It can also track calendar appointments and other items.
The benefit to GoogleSync is that it can run cross platform. If you later go to BlackBerry or Android, you'll still have access to all your contacts without having to export them or do anything complicated. I just moved to BlackBerry for a while and GoogleSync worked like a charm!
http://google.com/sync