Before you panic, see if hyperterminal shows anything.

However, you're going to need to know the correct serial port number before you can even do that. To find out the correct serial port number, go into the Device Manager and look under "Ports (COM & LPT)". If nothing shows up under there, then your adapter thingy isn't even working at all and you need to rewind a bit and find out why THAT isn't working.