Well, the problem with device being not recognized in XP can be rectified by installing activesync on the pc. its must have come with your Getting Started CD. For Vista, you need to install the Windows Mobile Device center, again, from the same CD.
As for the slow data transfer rates, first check whether the port you are connecting your device to is a HIGH SPEED USB 2.0 port or not.
If it is, then try these steps:
Goto Start>Settings>Connections>USB To PC.
Here, uncheck the checkbox : Enable Advance Network Functionality. If it is unchecked, try checking it. Also when this box will be unchecked, everytime you will connect your USB cable, you;ll see a dialog box on your device showing the status of connection being made. Then it will minimize to the system tray (the lower right corner of the screen). Dont cancel or close it, as it will end your USB connection. Try it.