Firstly you say you've only just received your empeg, so I would think you have the correct serial cable (empeg discovered this a while ago, and stopped sending out the wrong cables)
Secondly, I cannot upgrade via serial from my windows box following the instructions (It's apparently a known problem with windows being too slow with the serial port...)

However, the following method has always worked for me in the past (except in one case, but that was my own fault... =)

What you need to do is power up the empeg with the serial cable attached, then double click on the upgrade file, and press next a few times.
The empeg should reboot itself at the right point and the upgrade will be performed...

Try it and see... =)

Jazz
(List 112, Mk2 12 gig #40. Mk1 4 gig #30. Mk3 1.6 16v)