You need to set up the correct COM port for the USB. First, look at the directions for your USB to serial adaptor to figure out how to find the COM port it is connected to. It will be COM1 or COM2 or ...
Then when you open the ESC Link, you need to specify that COM port number, there is a dialogue with a set of check boxes for this. Also, once you set this up, if you reconnect the adapter to a different USB port on the computer, the COM port number will change, so remember which one you use.