Can you clairify a few more points:
1. The thread heading mentions PICAXE 08M2 wheras the AXE401 is for the 28X2 part. Which is the PICAXE part giving concern ?
2. If it is an 08M2 in question do you have the download circuit as per PICAXE manual 1 page 27 and page 43
http://www.picaxe.com/docs/picaxe_manual1.pdf
3. Have you downloaded and installed the Programming Editor:
http://www.picaxe.com/Software
4. Have you installed the AXE027 (or other) download cable drivers - this in effect needs to be done twice. See:
http://www.picaxe.com/docs/axe027.pdf
5. Within the Programming Editor can you see the download cable. FOr the PE V6 in the Workspace Explorer window (usually at top left when PE6 opened) try the "Refresh COM Ports" and then make sure the AXE027 (or other) cable is selected.
6. From within the Programming Editor, once you have typed a program, from the "Home" Tab click the "Program Download" button at the right side of the toolbar.