If everything is working properly, you should see two drives in My Computer, one called phtsys and the other called phtdta. If you aren't seeing those, it's not connecting properly.
Only the red light comes on the cradle, no green light? Have you changed anything on your computer since the last time it worked?
Are you using XP or Vista? Is it a USB 1.1 or 2.0 cradle? If it's a 1.1 cradle, are the drivers loaded?
It might seem obvious, but check the connection from the cradle to the computer. Try it in a different USB port if necessary.
If everything else checks out, it could just be a problem with the switch inside the cradle. If you look down in the cradle slot, you'll see a little metal contact switch on one side. When you push the DMS in, it should push that switch down, activating the connection. (If you push it down with your finger, the green light will come on.) That switch is flimsy and can get flattened easily, causing it not to work. If that is the problem, you have to bend the switch back up -- carefully.