Have you installed the Desktop Manager software? It came on the CD, but I would recommend downloading the latest version from the BlackBerry Support web site and installing that version.
Then Start Desktop Manager, click on the Intellisync icon and "Configure PIM" to make sure that all of the options are set properly. Then Synchronize and all of your notes, tasks, contacts and calendar items will come over.
Pretty elementary stuff. I think it is in the doc that comes with the BB.