I used the default installation with my KeySpan adapter and it installed the USB adapter to COM4. In the beginning, I too was having a lot of trouble connecting to the Pronto using the serial cable to my serial port. I physically removed *everything* that could have possibly conflicted with my PC & Pronto "seeing" each other and at best I was getting a succcessful connection once in 15 attempts (*no* exageration). I searched and asked specific questions here and decided that the KeySpan was best for my situaion. I installed using the KeySpan CD, using all default settings and have had no problems since. I have since put everything back to my original configuration on my PC, including ActiveSync to COM1 and can now connect to the Pronto (via USB on COM4) and to my PDA on COM1 --at the same time--.
I think I just got lucky, because I have read where several others have had problems with KeySpan. It is quite possibly a different situation for each configuration as far as what you have installed on your PC, where it is installed and what adapter you are using.