If Windows doesn’t find the drivers automatically, you’ll need to install them manually. I just installed the drivers on a dozen new Window 7 machines and WindowsUpdate was able to find the correct driver each time. The FTDIchip.org site has instructions for how to do that. Note that there are 2 different drivers that need to be installed: one is the FTDI drivers, and the other is the virtual com port (VCP). If the installation failed or didn’t go properly, the FTDI website has some instructions for how to update the drivers manually. If you check DeviceManager, do you see the virtual com port listed or any warnings under the ComPort or USB sections?
Another alternative is if you already have an FTDI device, like the Adafruit FTDI-Friend, the Sparkfun FTDI Breakout, or a cable with built-in FTDI, and you’ve used it with other boards, then just use that to program the Mayfly via the FTDI header.