The Arduino plugs into the USB port. It comes with USB drivers which present a virtual COM port inside the PC when the Ardunio is connected. Anything written to the COM port can be read by the Arduino. Anything written by the Arduino can be read from the COM port. You will need to write a PC application to open the COM port and write a message to it when you want to switch the LED, and you will need to write code on the Arduino that recognises the message and switches the LED. None of that is hard, and if you can follow the description above I'm sure you'll find it all straight forward.