Newer Nokia models include full support for the IrDA standards, as used by the Windows IR Monitor and IR Communications Drivers. You must first have the IR drivers that came with your hardware installed, and the IR monitor must be able to detect the presence of the phone when IR reception is activated on the handset.
Configuring for IrDA is simple - there is no need to select COM ports or IR port types. Just select 'Use IrDA drivers' in the setup tool, or in the configuration dialog.