I have XP Home, and there is no shortcut for it anywhere in my program menus. But... if I search for 'Hyperterminal' under Windows Help, a window appears with a shortcut. Its there, just a bugger to find.
Okay, thanks everyone. The FAQ now reads:

Any piece of terminal software will work for this purpose, but Hyperterminal is most commonly used since it comes with Windows. If you can't find Hyperterminal on your Windows Start menu, search for the file "hypertrm.exe" on your hard disk, or search for "Hyperterminal" in the Windows Help. In some versions of Windows, it's an optional component and you may need the original Windows installation CD to install it. If you're not a Windows user, or you can't use Hyperterminal, you may use any other terminal program you like. There are many available for download on the internet, many of them freeware.
If anyone has data to refute the accuracy of that paragraph, let me know.
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Tony Fabris