Step 1: Find your serial port
In order to set it up, first you have to find it on your computer. Long long ago, almost all computers had two serial ports, called "COM1" and "COM2", one a with a nine pin and the other with a 25 pin connector.
Now times have changed and the serial port has vanished.
Don't give up hope, however. The USB to serial converter has arrived, and it can be used instead. It is usually a dongle which plugs into a USB port, with a nine pin male connecter at the other end.
On my desktop computer, the motherboard has two built in serial ports. The third seial port, here labelled COM4, belongs to the USB to serial adapter I have plugged in.
So, to find the serial port on your computer, scout around its back. If you find a nine pin male connector (two rows, five and four, pins sticking out inside a metal shell) it has a serial port built in.
Or get a USB to serial converter and plug it in.
Open up Device Manager. Right click on "My Computer" and select properties (at the bottom of the list that pops up). Click on the "Hardware" tab. Click on the "Device Manager" button and a something similiar to this picture should appear.
Click on the '+' sign on the left of the "Ports (COM & LPT) to expand it. The list of printer and Serial ports available will be shown. Make a note of those, you will need them in the steps that follow.