For someone who faces similar problem:
You might want to check your USB cable if it has data lines D+/D- or is only for charging (like used with mobile phones).
The indicated LED shall be stable Blue if correct USB cable is used. Else its off --> This was my observation
at first, please click Register now button. Sometimes, this causes issues, when software registration is not done.
Please check, if USB driver was installed correct when device is connected to the computer. You have to see OpenSDA - CDC Serial Port in Windows Device manager. Please see figure below.
Last, please check, if you have correctly installed and updated PEMicro drivers.