This may sound silly, but....

Is the unit getting any power? The sled is designed to be hooked up in the car with a DC power source. Most people don't have those right next to their computer.

Generally, the way to hook it up to your computer is without the sled (using the AC cord for power) with ethernet/USB and the supplied serial (null modem?) cable for hyperterminal or firmware updates.

-Biscuits