Hi, I have recently just started with Arduino so excuse my lack of knowledge...
I am using an Arduino Uno board and have bought this sensor http://www.coolcomponents.co.uk/catalog/colour-detector-sensor-p-1056.html
I have used the sample code supplied on that page: http://atlas-scientific.com/_files/code/Arduino-sample-code-EZ-COM.pdf
I have wired it as shown and verified and uploaded the code to the board but when I go to Tools>Serial Manager, am I right in thinking it should be reeling off different numbers relating to what the sensor is detecting? If not, how should I know if the sensor is working? If so, what have I done wrong?
Sorry for the lack of knowledge again and appreciate any help on this, thanks! 
...I'm using Mac OSX if that makes a difference.
What baud rate have you got the serial monitor set to ?
What commands have you tried sending ?
Originally it was 9600 but I changed it to 38400 but that hasn't made a difference. Am I right in thinking the TX and RX LED's should be blinking to show they are sending and receiving data? - Because they aren't.
Am I right in thinking the TX and RX LED's should be blinking to show they are sending and receiving data
No the LEDs are being controlled by the USB driver in the PC. You are using a software emulation of the serial protocol so you will expect to see no blinking.