number 3 says : " Connect the Board". and at the bottom of that paragraph it states: "Connect the Arduino board to the computer using the USB cable. The green power LED(labelled PWR) should go on".
However that LED never go'es green and stays red constantly
Sounds like you might have a cheap Arduino knock-off that used a red LED instead of a green LED. Ignore the color.
Down in step 4 they have a section titled:
Installing drivers for the Arduino Duemilanove, Nano, or Diecimila with Windows7, Vista, or XP:
That is the section you want next.