You'll have to use Outlook (not Outlook Express) for the Calander, and either Outlook or Windows Address Book for the contacts list.
In Palm Desktop, you select contacts to display your contacts, then click :
type a name to export the file to (ie: palmcontacts) and export file type as comma separated (*.csv, *.txt)
This will export the entire contact list into a file.
Then in Outlook or Windows Address book, you simply import the file you just exported from the Palm software, and presto. It won't be a perfect copy, you might have to edit some fields, but the most common data will be copied.
For the Calander, its the same process as above but it will only work with Microsoft Outlook, not Outlook Express.
You can't export or save your palm memo's or to do list. those would have to be manually entered into the iPhone.