ActiveSync or WMDC (if using Vista) has a history of being buggy w/ WM devices. Your best bet is to use a good backup app, such as SPB Backup or Resco in conjunction with a Dashwire account. SPB/Resco will create a backup of your entire device on your SD card on any schedule you please. Neither are free, but worth the cost. Dashwire will b/u your texts, pix, voicemail, internet bookmarks, etc to a cloud based server. It's free. Go here for more..
www.dashwire.com