The SJ line supports first generation memorysticks up to 128MB. These are hard and expensive to find now.
About the sync issue you have, try to check if an app was running before the hotsync using the IR port, same happens when an Bluetooth stisk was inserted in the PDA and active. If nothing helps try to do a warm reset.
The type of memory stick that it takes is now clear. (Standard/Duo 128mb or below capacity).
On the Sync issue the warm boot issue does not seem to resolve the problem. My PC does not have an IR Port (I am presuming this means for my PC to communicate with the PDA wirelessly (Infrared) using a suitable adaptor if required). So this is not an option available to me.
The other information that may be useful is that the operating system is Windows XP Home Edition (SP3). Also the Setup menu has 4 types of options to communicate General, Local , Modem or Network. I do not need to connect using Modem or network. For General I have selected for the device (PDA) to be always available. For the Local Option the only option available is Com 3. I would have expected a USB connection here (as I connect to the PC using USB via cable). Could this be causing a problem?
Normally for cable/cradle hotsync you should configure it on your Cliè as Local and as connection profile use the default cable/cradle, please check the preferences of the cable/cradle profile through (menu) -> Options -> Connection Setup.
Once you acces the profile you should have:
Connecte to: PC
Below is the advanced options button, if you press it you should have:
Speed: 115.200 bps
Flow Ctl: Automatic
If problems persist you should check if you have installed some kind of drivers for external keyboards that may conflict with hotsync, if not you should test to to do a backup to a memorystick using Sony's MS Backup.
After you did the backup do a Cold Reset, this will revert the device to the factory defaults but all data will be lost. Try then to hotsync again.