I had the same kind of difficulty with a picaxe 18X. It turned out that the problem was "operator error". My project board has 3 pins leading to the SERIN, SEROUT, and GROUND pins on the chip. It turns out that if the header is reversed the program won't download even though I was able to do the serial port test under View>>Options>>Serial Port>>Test.
From what I've read here on the forum, the most likely explanation for download issues is operator error. Check and recheck your connections. With the chip removed from the board, do a continuity test from the DB9 connector all the way back to SERIN, SEROUT, and GROUND.
Regards,
Dr. Spiff