Connect the serial cable to your computer, but not to the MegaSquirt® ECU yet. Use an alligator clip or something similar to jumper pins 2 and 3 on the loose end of the cable. This provides a loopback circuit to verify the operation of your computer and the cable without involving the MegaSquirt® hardware yet.
Download the HyperTerminal configuration file (for MegaSquirt) by clicking on the link (then go to step D.), save it to your hard drive, then click on its icon to start HyperTerminal (to use this file with MegaSquirt-II, set the baud rate to 115200). Note that the configuration is set for com port #1, you may have to change this. OR you can set up Hyperterminal yourself:

i. On the PC, find and run HyperTerminal (Hyperterminal is usually under Start/Programs/Accessories/Communications, but if it is not there then search for a file called "hyperterm.exe").
If you do not have HyperTerminal installed, you can get it from Hilgraeve, who wrote the original for Microsoft Windows. HyperTerminal Private Edition (HTPE) is what you want, and it's free for personal use. ii. When Hyperterm appears, click on the red telephone icon, and enter a save file name (anything you want, say, "megasquirt"). iii. When the "Connect To" dialog comes up, select under the "Connect Using" option the COM port to which the DB-9 cable is connected, i.e., COM1 or COM2. Do not worry about any of the other settings. Click OK. iv. Next, a dialog window opens with baud rate, stop bits, etc. Set the values according to the table below. Note: the last one, Flow Control, is very important – be sure to set it to None. Click OK.
Baud Rate 9600 for MegaSquirt
115200 for MegaSquirt-II
Data Bits 8
Stop Bits 1
Flow Control None

HyperTerminal now is up and "connected."
Type any character - it should be echoed back to the screen, i.e. you will see it once if you do not have local echo enabled, twice if you do. Note that the above configuration file has the local echo set to "off". If the character you typed appears on the screen then the link is working. If not, then check the cable connections and try different COM ports. You must see characters echoed correctly before you move on.