"Does ANYONE have THE solution to this very common problem? "
There is no one solution.
"Cannot open COMx" is not a specific error message, it's a very general one that means the link isn't working.
It could be that you have a dud USB <-> RS232 converter
It could be that you have a dud RS232 <-> CAT (ttl serial) converter
It could be that there's a setting wrong somewhere.
If you've checked all the settings and drivers, sometimes all you can do is swap out the hardware.
I've heard a lot of stories about how people can just never get their USB<->Serial converter to work right. I don't know why it happens, but I guess manufacturers aren't building them and writing the drivers to be 100% compatible with the software, hardware, and the communications standards.
I use a direct converter from USB to TTL Serial (0V Lo 5V Hi) that can interface directly with the CAT port on my FT-857D.http://www.sparkfun.com/commerce/product_info.php?products_id=8165
It uses a FTDI FT232RL chip with drivers that seem to work very well with Windows XP.
I can't speak directly for any other combination of converter, radio, and operating system, but I have heard generally good things about the FTDI chipset, and it eliminates the need for a double conversion (USB to RS232, RS232 to TTL).