Try the following:
Make sure you have installed the USB/Serial adapter driver.  If you are using a SST USB/Serial adapter, use this link to download the driver installation software:  FTP://USBdriver:SSTUSBdriver1!@ftp.superiorswimtiming.com/CDM20828_Setup.exe (Case sensitive)  If  you are using a different manufacturer's adapter make sure that the software is install for that adapter.
On the "Serial" tab in the configuration section of SST make sure you have selected the COM port and click "Open".  If you are still not connected to the scoreboard, click "Close" and then check to see if there is another COM port listed.  If there is, select that port and click "Open" again.
Make sure you select the scoreboard mapping.  The numbers and alphanumeric listings on the right of the mapping section is the address of the scoreboard box.  These are displayed when the scoreboard is turned on.  Use the dropdown boxes to select what is displayed on that box.
By the way... Make sure the scoreboard is turned on.
Check the cable connecting the serial adapter and the scoreboard.