Your Arduino's USB-to-Serial chip is not showing up as a serial port. You may need to install a driver. What is the label on the chip near the USB port (UNO/MEGA) or on the bottom of the board (Nano)? Common choices are:
ATMEL MEGA16U2 (Official Arduino UNO/MEGA and some clones)
FTDI FT232RL (Official Arduino Diecimila/Duemilenove/Nano and most older clones)
WCH CH340G (Most newer clones)