Hi Amitava,
Do the settings on the hyperterminal as suggested by Amrith. If you want to check the serial cable, just short pin 2 and pin 3 of the DB9 connector using any wire or metal. Type something on the hyperterminal and you should receive the same characters as you type.
Also note that all the AT commands ends with enter key press, except some which require ctrl+z. I know you won’t miss it out, but still you aren’t getting any response from the device means the device is damaged!