How are you powering the XM device? Is your XM antenna outside or near a window (just being sure and ruling out that you are in LOS of the satellite signal).
In hyperterminal, you should be able to open the com port that the XM direct is on. Set it to 9600/8/N/1 no flow control and hit enter in the terminal window. You should see binary data if you are getting something from the com port.