From iphone users guide:
"You can sync contacts with applications such as Mac OS X Address Book, Microsoft
Entourage, Yahoo! Address Book, and Google Address Book on a Mac, or with Yahoo!
Address Book, Google Address Book, Windows Address Book (Outlook Express),
Vista Contacts, or Microsoft Outlook 2003 or 2007 on a PC. (On a Mac, you can sync
contacts with multiple applications. On a PC, you can sync contacts with only one
application at a time.) "
Itunes is only the conduit that syncs your program with the iphone, contacts aren't stored in tunes, they are synced with you computer's contact management program.
Make sure that your computer's contact management program has at least one contact entered ( even if it is a dummy contact - you can remove it later). When you sync your iphone you should be able to merge the contacts from the iphone.
http://manuals.info.apple.com/enUS/iPhone_UserGuide.pdf