You need to install and download the FTDi driver manually to be sure it's on there.
D2XX Direct Drivers - download the first one, the WHQL certified. As of this writing, the link should be
http://www.ftdichip.com/Drivers/CDM/CDM21216_Setup.exe
Install it with the cable unplugged. Once you have that installed, plug in the cable. You then need to figure out which "COM port" the cable is on. As you know, in the TuneECU you have to pick the right one.
Here's a tutorial from another site that shows you how to track down what COM port number you got. Though really, to just see what it is and not go changing stuff, go to the start menu, find the "Run..." entry and click it and type this in in the window that pops up and then hit enter:
devmgmt.msc
Look under "Ports" to find something that should be marked "USB serial" something or other, see the first image in the link below.
Overview | How to Find Hidden COM Ports | Adafruit Learning System
Once you have the driver installed, and the right COM port selected in TuneECU, you should be able to hit connect and (after a little while) get the green blink and not the red. And once you get there you're good to go.
The most likely failure points I would guess to be 1. no FTDi driver installed properly, and 2. choosing the wrong COM port in TuneECU (or choosing no COM port and trusting to fate, and she's a fickle b-tch).