Seem to remember that didn't work too well with mine at first - try manually entering com port numbers?
Mine is on three but it doesn't take too long to try them all.
Does sound a bit like driver issue though.
You might try uninstalling everything so far, then install again from the disk, then update the driver from the download before trying to connect.
Make sure the firewall isn't blocking it too. 
This is a good site to look for more specialised knowledge and advice
http://www.wxforum.net/