I always connected the module to my PC with HyperTerminal or Zterm on Mac.
Once you got connection, type
$$$
which enters the command mode.
The terminal should reply with CMD
then type
SU,57
terminal should return AOK (this sets the baud rate to 57600)
then type
and press return to exit the command mode.
I found a tutorial for you, but I think the commands are different. I don't exactly know which module you have so check the correct commands for your module. You will see if $$$ or +++ opens up the command mode.