Are you using the DB-9 to RJ14 (6p-6C) adapter that was specified in the instructions?
I have had bad luck in trying other adapters (like the ones at frys), you are using the one from digikey?
(Btw. all the part numbers from digikey can be found in this document
http://firstforge.wpi.edu/sf/go/doc1030?nav=1)