Make sure you do the com port check. It is the icon that has the cable end on it. Do an auto detect. Make sure you have the key turned so it is in aux. mode and not running, and make sure it is hooked up to the pc as well.
I just found out in vista. You need to install the drivers for the usb port you are using. So make sure that is done as well. Then do the com check.
I haven't used in XP, but it will be close to the same thing. If not simpler.
Hope this helps