Also, downloading and installing those drivers was a bit of a pain. At first, it seemed like windows 7 was rejecting them, but when I installed the drivers one-by-one, it went better. To do that, save the drivers to a folder somewhere. Go into device manager, and with that shield first plugged into something else (like your powered arduino), then a USB cable plugged into the USB port on the board, you'll see something like seven new devices that aren't known. (Seems like they were under ports, but I don't recall now.) Right-click each one, update the driver, find the files in a local folder, point it to the 64-bit (assuming you're running a 64-bit OS) folder, and let it go.
That process worked, and I eventually got several new serial ports. I went with the one that ended in "AT", dug up a terminal emulator app (I used Putty), set it for N81, 115200, no flow control, local echo on, and then reset the board. I got a perfect start sequence for the modem/board, with no garbled characters. The command to change the baud rate is "AT+IPREX=38400", or whatever baud rate you want. You should get an "OK" back. That sets the default baud rate in the device's flash.