Connect the MCU to the PC with a level shifter (MAX232 or other method). Write a program for the MCU to receive RS232 and do something with the data it receives so you'll know something happened. Set up Hyperterminal to match the baud rate and other stuff that you programmed the MCU to receive (typically you'll start at 9600-8-N-1. Go faster later, after you get that working).
And that's it. If you're a newb, it's not near as simple as I make it sound, but not so very difficult either.
it's easy with visual basic and mscomm, once you get your head round it. if that's what you don't forget mscomm will only accept ascii characters for output, so you must convert data to bytes and send using 'chr$(n)'.
that's assuming you have the neccessary hardware set up [rs232 interface for uC]