The SXAO Utility isn't provided on CD as part of the SX AO-LF package. Instead, you need to download it. This is understandable because it's mostly intended as a firmware update utility (the latest firmware comes packaged with the utility in the form of a .hex file).
It's definitely worth downloading the SX AO utility as it provides some really nice, simple and reassuring test features. The advantage of using the SXAO utility is that it's very straightforward and requires no setup whatever - all you need to do is select the correct COM port the AO is connected to. Essentially, if the tests detailed below work then you're ready to move on and tackle the more complex setup required in MaxIm.
If the Calibrate, Version or Handshake buttons do not produce a positive result (look in the status bar for short messages) then at a basic level the connection between your computer and the AO unit is not functioning correctly.
In the case of bad serial-to-USB cable, clicking the version button would produce 'Unknown Version'. You should expect to see 'Version 20' or higher. If you run into problems at this stage then ensure that the AO really is connected to the COM port you select (look in Windows device manager to verify).