make sure you have DIP switches on dev board set to TXD,RXD,CTS,RTS,DSR and NOT to IO1,IO2,IO3,IO3,IO5. If i remember correctly there is one jumper for enabling tx on dev board near to com port?
if these settings are good.. then i would check whether i have all pacthes installed in Digi ESP for NET+OS and then will create a new sample project and will try again.
You might be having NET+OS 7.5, isnt it?
Try chaging the serial cable also, whatif it is damaged? worst case?
Are you able to ping to device? you can set static IP in project and try, to make sure module works fine.. the Ethernet leds on module is it blinking?
Or try this..
Dont connect JTAG , just place module on dev board and turn ON, it should print something in COM port.. Atleast the leds near COM port, the TX and Rx ones should blink when data is passed. Do we have a OCD switch on dev board? to enable debugging? if so turn that OFF.
These are the basic things that comes into my mind at this point of time