Contacts are designed to be synced with a supported address book app on your computer.
With a Mac, this is with the Address Book app.
With Windoze, this can be with Outlook 2003, 2007, or 2010, or with the address book app used by Outlook Express or by Windows Mail depending on your Windows version called Windows Contacts. This is selected under the Info tab for your iPhone sync preferences with iTunes.
If the supported address book app on your computer is empty - no contacts, before the first sync for this data enter one contact in the supported address book app on your computer. This will provide a merge prompt with the first sync for this data, which you want to select.