So from here; http://www.leadshine.com/productdeta...EM&model=EM806

you downloaded these ?

ProTuner for the EM Series Stepper
EM_Series_sm.pdf

You got Protuner software installed on the PC
You've plugged the special cable between the PC and the EM806 and started the Protuner software, it's asking for a COM port ?
There's a way in Device Manager to see which is the right port but another way is to keep trying different ports until it connects, so start at COM 2, then COM3, etc. until it connects.