I posted this on the Picaxe forums, but they haven't been able to diagnose my issue yet, so I'll come to you now.
I'm using the Picaxe 28x starter pack with a USB cord.
I have both of the drivers installed, and both the software and my PC are set for COM5, which (I think) should make the two talk to each other... it's not working though.
Perhaps this short clip may help you out a little.
You may not be able to read the text, so here is the error that pops up.