A few customers have been struggling to connect Data Synchronisation Studio to their Dynamics CRM Instance.
What you need is to ensure that you have the Windows Identity Framework (WIF) components installed on your machine from here.
Then it is just a matter of entering your Live Credentials and the base URL to your hosted CRM environment. This will be something like
https://crm5.dynamics.com do not include your organisation name in the URL. You should then select an organisation and Data Sync will call the CRM Discovery Service to locate a list of Organisations that are available for your login. Finally choose the entity from the Entity drop down, you can choose built-in Entities or Custom entities from this list.
Once your connected you will see all the columns that are available from your selected Entity in Data Sync.