You don't give much info to go on, so here are some general tips:
You should deactivate your antivirus and firewall software during the installation of PC Suite, as they can interfere with correct installation.
Current versions of PC Suite support only Windows 2000, XP and Vista. If you have Vista, ignore the CD that came with the phone and download the latest version 6.85 from the Nokia web site, this is the first with official support for Windows Vista.
Are you using a cable connection to your PC or Bluetooth? If using Bluetooth, it is best to use the standard Windows Bluetooth drivers as opposed to drivers provided by manufacturers of Bluetooth dongles.