go to settings > PC Link
Select Storage, then in the dropdown to the right select SD, CF or internal HDD
then select OK on the titlebar.
If your Zaurus has no hard drive, the last option won't be available. (HDD)
Now plug in a sync USB cable from your PC, and in a few seconds, your Zaurus screen should change and say "Communicating"
In windows, it shows up in "My Computer" under "Devices with removable storage" as "removable disk"
Be patient, this process takes about 10-15 seconds to complete.
If you try to open the "removable disk" on your PC too soon, nothing will happen for a while.