[Help Required] Hilo Sagem GPRS Quad Band Module with Arduino Mega 2560

Hi all,

I've been trying to interface the Hilo-Sagem GPRS module with my Arduino Mega 2560, but I can't seem to get even the basic AT command working from my PC.

This is the guide which I've been following, except I'm using the Mega 2560 and the most recent version of the HS module
:http://www.libelium.com/squidbee/index.php?title=New_GPRS_module_for_Arduino_(Hilo_-_Sagem)

In Hyperterminal, I get the following message when I'm trying to start a new connection:
"Unable to open COM15. Please check your port settings"

In the guide, it's mentioned that I should remove the AVR on Arduino, but it seems like that's not possible on the Mega 2560... so may I know if this step is required?

Is there anything else I'm doing wrong?

A picture of the setup: