What are you trying to sync?
You can sync calendar entries and contacts, but not directly. You have to go through a Mobile Me (.Mac) account. To do this, you first enable Sync Services in Entourage, That synchronizes with a Apple database that is behind iCal and Address Book. Then you set up syncing with you Mac and your Mobile Me account. Finally, configure your iPhone to use you Mobile Me.
THere are limitations that result from the bucket-brigade series of syncs. And attributes that are not supported by iCal or Address Book are not passed through. THere are also time delays - 5 to 10 minutes in my experience.