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Tried on 3 computers, with no results.

That's a very good diagnostic step, I'm glad you tried that first. Yes, what he said is most likely correct, you bought a straight-through serial cable when what you need is a null-modem serial cable. The difference is, on a null-modem cable, the transmit and receive wires are reversed, or "crossed".

If you happen to have the sled loose (i.e., you haven't installed it in the car yet), you can plug into the serial cable on the sled and plug the AC adapter into the player through the little hole in the sled made for that purpose, and do your serial fiddling that way. The sled's serial plug has the crossover connection (RX and TX wires crossed).

Or you could just go buy the right kind of cable at Radio Shack.

More information on serial connection and testing here.
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Tony Fabris