Its pretty simple, just hook up your cable, set your COM settings and start typing. You must "make a call" to connect to the serial port.
Your communications must match the microcontrollers settings exactly. Usually something like 9600bps, 8bits, no parity, 1 stop bit (i.e. 9600 8N1) work on just about anything. If you can't figure it out there should be something on the web about it. You can also use hyperterminal with ethernet sockets by selecting winsock as your com port, assuming your ethernet device talks with ascii protocol.
Sometimes it is helpful to check the option to have hyperterminal echo typed characters, and I think there is an option to send echo line feeds with carriage returns or something like that. I usually muck with it until I get something workable.
The microcontroller can be more difficult to set up sometimes, so if you have a register configuration that is known to work I would keep that and adjust hyperterminal to those settings, at least to get started.
