How the Sync Works
Syncing between OneNote on your PC and OneNote on your Windows Phone takes place via the Internet, specifically via your Windows Live SkyDrive; there is no USB-based sync available.
This syncing method affords better flexibility than if USB sync was available, however, as the data is saved in a central point on the server so it can then be edited by either device. The old Windows Mobile platform had a terrible problem with syncing data between phones and computers because of a lack of a third computer in the sync dynamic.
Using OneNote to sync data to your phone is remarkably easy. Begin by establishing an Internet connection on your Windows Phone (Settings > Mobile network > Data connection); if you have been using your phone for some time you should already have a Windows Live account set up on it, but if not, open Settings > Email + accounts > add an account > Windows Live to add an account ending @hotmail.com, @msn.com or @live.com (or any international variations such as .co.uk or .ca).
On your PC, open Microsoft Office OneNote select File > New. Here you will be able to create a Web based notebook, and add your Windows Live account details when prompted.
All you need to do next is create a new note via the Home tab -- as long as your PC is online this should automatically sync with your SkyDrive. You can check this by opening the Office hub on your Windows Phone, swiping to Notes and then tapping the Notebooks icon, where you will find your new OneNote notebook listed. If nothing is listed, slide up the menu at the foot of the screen and select Refresh!