Ok that may be the problem, sounds like the driver is not loaded.
Close Mach and go to the Mach3 folder and double click on DriverTest.exe and let it run, once its done its thing try Mach again. You will likely get a pulsing error message when you try the driver test as there is no driver loaded but letting it run until it says its done will install the driver. You could also run it again for a second time and have a look and see if its showing a nice clean pulse.
Hood