If you are running Windows 98 or Windows Me the parallel port should
basically just work, as long as you ensure no other drivers (such as printer
drivers) are configured to use the port. If you are running Windows NT, 2000,
or XP you need a driver to provide transparent access to the parallel port,
so it can be used directly by the mspgcc software. The driver for this is
called giveio, and is normally installed automatically by the Windows
installer program. If you find you cannot access the parallel port with
msp430-gdbproxy, check that giveio is installed and running.
If all is well, you should be able to run msp430-gdbproxy.
Whilst gaining confidence in the tools, it might be a good idea to run
msp430-gdbproxy with debugging on in a window of its own,
so it can be monitored for any signs of trouble. The following command
$ msp430-gdbproxy --debug msp430
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should do this. The --help argument will make it list its options.