Maybe if you open the NAZA assistant before plugging in... I'm shooting in the dark now.
Follow instructions to the T and in the proper order is what I'm thinking.
How about trying to hook up to a friends computer?
There's a buncha stuff in the assistant which can be very helpful and informative.
FYI:
I've had great luck connecting to a laptop in the middle of a field and less luck connecting in my living room. It's not the machine though, it's the proximity to interference. Household electrical current causes interference in more ways than I know, and I know a few.
Another FYI, if CityZen says anything, listen very closely.