Sometimes you have to go right back to basics. Seems the data is coming out of the com port. Now to test if data is going back into the com port. Grab a D9 female socket, join pins 2 and 3 together and stick it on the end of the serial plug. This is a "loop back" cable, ie what comes out of pin 3 goes back into pin 2. Then run Hyperterminal (it is in the accessories menu). Select your correct com port, pick any baud rate, and then try typing something. It should appear on the screen, which means it went out of the com port and came back again.
If that works, can you double check the wiring of the picaxe - 22k/10k correct (it is not a voltage divider).
If that works, I've still had picaxes recently that appear to be dead. Eg code with setfreq m8 then serin will hang the picaxe and prevent further downloads. Do a hard reset (this is in the manual) - you turn off the power to the picaxe, then do a dowload, then turn on the power when the download bar appears.
And if all that fails, can you pls post a photo of your protoboard.