What is your phone model? The cd came with a old version of Nokia PC Suite so I downloaded a new one. My Nokia 3120 works great on it (but it says it is connected to a Nokia 3100b, weird, but hey it works great!). Did you install the driver for the cable right? When you install the driver, and then plug it in, at the bottom-right corner (if you have Windows XP) it should say "New Hardware Found" or Detected. And then it'll set that up. But AFTER you have done that you need to go into Device Manager and see what Communications Port your cell phone is using (it will ALWAYS use the same one) to do this:
Plug in your Nokia Phone
Start > Right Click My Computer
'Properties'
Click the Hardware Tab
Click the Device Manager button
Click the Ports (COM & LTP) '+' sign to expand it
You should see something saying (this is what it said for me) 'Port 1 on Nokia Adapter (COM4)' now remember that.
Now go into Nokia Connection Manager (in Nokia PC Suite, click "Manage Connections") and make sure 'Serial Cable' is checked, highlight Serial Cable and click Configure. Now click the Drop-box and select whatever it said in Device Manager (I selected COM4 because thats what port it was on, you select what it said in Device Manager)
Now it should say Phone Connected
Hope this helps!
Derek