If the cable is hooked up properly things should go down like this...
When you open the logger program you should get a box that looks like this
Once you click Connect you'll either jump straight in and things will be gravy or you'll get this
At this point you have to make sure that the KeySpan adapter is set up for COM1,2,3,or 4. If it's 5 or above you're hosed cause that's not an options that you can select from the drop menu on the logger. Run the keyspan utility and set it up for one of those and then choose that same number. Now things should be gravy.
If you've done that and it still doesn't work then you're not connected properly. Either your cable is wrong or you don't have it plugged in to the port correctly.
Edit: The above assumes that you are using a USB-serial adapter and that it's the KeySpan 19-HS. Other USB-serial adapters have been found not to work adequately and may cause things not to work. If, on the other hand, you have a laptop that has a built in serial port, then you don't need the adapter. If it doesn't work under those circumstances you either have to reconfigure the computer so that the serial port is on COM1,2,3 or 4 ... or as mentioned your cable is either wrong or not plugged in correctly.