With an iPhone, you can use Outlook / iTunes to sync your contacts and calendar to your iPhone and 4,000 contacts is not a problem.
For a test, I synched 14,000 contacts to the iPhone and it worked, so 4,000 will be a walk in the park.
To get the iPhone working, you will need a PC /Mac with iTunes and once the iPhone is working, you can ask it so sync with Outlook, Gogle Contacts, Yahoo Contacts or your Windows Address Book.
You DO NOT NEED an Exchange account to sync. If you have one, you can benefit from Push mail, but you can easily configure the phone for POP3 and sync contacts and calendar without a problem.
Alan
