Yo,
If you are using more than one USB debug cable on your machine this will happen.
Each P&E Micro USB Multilink has a different name and is handled as a separate device. (For those who don't believe me, go and look through the device list drivers in Windows registry...)
So, when you plug back, and it tries to talk, you will get a message box asking Try Again or Cancel.
You cancel and chose the right USB PE-XXXXX in the port list displayed.
If it's not in the list, you need to un-install the hardware drivers via Windows Hardware Manager in the Control Panel. Then you remove the cable and connect it back on and the install will do the rest. (Note that HiWave debugger MUST be closed during hardware install as some shared .DLL will have to be accessed).
Alban.