If you are using Windows Contacts, you need to connect the iPhone to iTunes, make sure you have the latest version, and after connecting to iTunes, select the phone, then check the Info tab in iTunes. Select Contacts, select Windows Contacts as the source, and then sync. This support document will help. http://support.apple.com/kb/HT1296
You can also take a look at this support document http://support.apple.com/kb/HT1692 if you have trouble.
Message was edited by: ChrisJ4203