Assuming you have a Commport component on your form and a CommLED.
Hover the cursor over the CommLed and hit F11 to bring up the object inspector, in the Object inspector there should be a Commport property with a drop down list.
Any Comports on your form will be listed (there shuld be only one) click this and the LED is now linked to the Port Driver.
You can link several LED's to one driver (Commport)
Of course you must also set the Comport's properties to attach it to a physical commport (COM1, COM2 etc). and set the Baudrate, Stop Start bits etc (etc).
This should be done in your program as you never know which port will be avalible.
Steve