For connection to PC over either Microsoft ActiveSync or CASIO LMWin you need driver software. It comes with the CASIO LMWin communication software. In particular you need the files WCEUSBSH.INF and WCEUSBSH.SYS from the subdirectory WCEUSBSH in path of your LMWin installation. For Microsoft Windows Mobile Device Center (WMDC) under Windows Vista or Windows 7 you do not need additional driver software.
For your convenience you can find the driver, including an installation manual, as a separate download below.