False alarm: I was using teensyduino.exe but I needed to be using teensy.exe. The right program makes all the difference.

I built the serial -> USB adapter following the directions at http://mwomercs.com/forums/topic/4767-ms-sidewinder-3d-pro-usb-conversion/page__p__142392#entry142392 which apparently descended from this thread. Everything seemed to be working well until I got to opening the Teensy Loader application ...