Make sure to install the drivers
Go to the Control Panel, Device Manager (or type "device manager" in the search box by the start button. In there, Look for "Ports (COM & LPT). Expand that section and you should see "Whistler TRX-1 Serial Device (COMxx)" where xx is the COM port the TRX is on. Mine is COM16. It is highly unlikely yours is on COM1, that is usually an internal serial port.
If you do not see any "Whistler TRX..." device in the ports section, look if there is anything in "Unknown devices" or with an exclamation point. If it is, you may need to add the drivers. If it is a "Whistler TRX..." not in the ports section, right click on it and choose update drivers and point to where the Whistler driver is. I had to do that for a few of my USB ports I used in testing.