I have just spent a couple of hours trying to resolve a problem setting up an RH-02 device (though this post is likely to apply to all serial devices (not including USB)).
The software reported "RH02 not opened on COM1" whenever it was run.
For the benefit of others who may come across this problem:
1. The cable required is a male to female (most cases 9 pin D type variety)
2. It is a "straight through" cable i.e. connection of one pin number will be the same pin number at the other connector. (In other words NOT a modem cable).
3. Pins 2, 3, 4, 5 and 7 MUST be connected.
An additional useful note is that when the software is running there should be < -7 volts on pin 4, > +7 volts on pin 7, pin 5 is ground.
Hope this is of some help to future users