If you've waited more than a few minutes, then I'd say there is an issue with either BDM or your handheld OS. I would download the lastest version of Desktop Manager from
www.blackberry.com (4.0 SP1). Uninstall your version. Delete the folders in C:\Program Files\Common Files\Research In Motion\ (except Shared), C:\Program Files\Common Files\Pumatech\ (Intellisync directory), C:\Program Files\Research In Motion and C:\Documents and Settings\<username>\Application Data\Research In Motion\. Install BDM 4.0 SP1. You will have probably lost some Intellisync options at this point, so just reconfigure that.
If that does not work, and it is still stuck in a Connecting state, then I'd suggest a security wipe of your handheld. But this is a last ditch option, just in case you haven't backed the handheld up anytime lately. This will work 9 times out of 10, in the event that the BDM reinstall doesn't work.