Got everything working. The problem was that I forgot to import my xml file. I did that and connected all 3 motors and all run. The only things I need to do now is configure my soft limits. I don't have limit switches on it yet. It runs to, and try to go past, the gantry upright. I also need to install my table bed and router. I need to tidy up my wiring too. When I ran the circle bolt pattern (included in the Mach 3 wizard) it runs fine. But when I tried to run the rectangular box using the default measurements, it runs out of Y travel.
The other thing that I noticed is the when the Z is moving down, such as going to a deeper cut, it makes a different type of 'grinding' noise. It will go up and down and I get the normal 'hum' but when it looks like it is making a 'hole' it slows a little and makes what seems like a grinding noise.
Hopefully I get to make something by this weekend.
BTW-I am running Mach 3 on an HP NC6320 laptop. I am running XP Pro and haven't made any special changes or settings.