I learned the hard way today that Microsoft has removed HyperTerminal from Windows Vista, when I needed to connect to a Cisco router through a local COM port. The good news is that you can still get HyperTerminal from Hilgraeve, the company that Microsoft licensed the application through.
You could also look at Ponderosa, which is a nice open-source terminal application that does SSH, Telnet and COM connections. The other big feature that Ponderosa offers is a tabbed interface, which is especially nice when dealing with multiple connections. Their tabs work somewhat differently than you might be used to with Firefox or IE7, because the tabs can be placed next to one another allowing you to view both connections at the same time.
Hilgraeve HyperTerminal for Personal Use
Ponderosa