"Arduino Enhanced Release 1.0.1H for Windows (installer, drivers, etc) +SRC" looks very nice and I might try it.
I got my new Arduino today in a kit from TheShedMag http://www.theshedmag.co.nz/online/component/virtuemart/?page=shop.product_details&flypage=flypage-ask.tpl&product_id=179&category_id=9
I am on WinXP and there was no entry for Arduino in the list of COM ports.
I eventually selected COM9.
I was not able to communicate with Arduino until I had selected the correct version from the long list under menu Tools -> Board.
Apparently I have "Arduino Duemilanove w/ ATmega328" and its all good.
Check you have the correct board selected, as well as the correct COM port.