The USB cable looks to the software as a Com (serial communications) port. Check "Device Manager" (you can search for it pressing Start and typing "Device Manager" in the area that says "Search programs and files"). It should show up under "Ports (COM & LPT)". It'll probably show up with a name like "USB Serial Port (COM4)". Select the Com port associated with that name (Com 4 in my example).
In the download windows select the correct com/usb port.
When you plug the usb cable in the PC it is assigned a com number and can be found in the windows device manager. Also make sure you installed the correct driver for your usb device.