See the Classic Pronto FAQ. There are some recomendations there. [Link: remotecentral.com]
The key is making sure that your Pronto shows up on the 'first' unused COM port. Meaning that you cannot have a mouse on COM1, an empty COM2, and the Pronto Showing up on COM4 or COM5. Will not work as the software will stop looking when it hits the empty COM2.
To ensure this does not happen, you need a converter that supports configuring the COM port on which the device will appear.