Make sure the drivers for the modem are installed. The CTS and MR LEDs will not light until the drivers are installed. If the drivers are installed, then check the following possible solutions.
Make sure you are not using a Null Modem cable or adapter.
Make sure the DIP switches on the bottom of your modem are set correctly. DIP switches 3, 5, 8 and 9 should be in the on (down) position: