other users report OK with a 6020 and PC suite 6.6:
"yes i can connect using DKU-5 and PC Suite 6.6."
See
Nokia 6020 - User opinions and reviews
Check your XP service pack compatibility, try position your infrared in direct line-of-sight.
You may need to put it 2-3 centimeters apart for optimal transmission. Now try easy things
like connecting/disconnecting, donwloading some Java game, and ultimately try the advanced
browse files etc. If still not working, check your phone software model number and go to nokia support