There are several causes to this, let’s try this one by one to determine why it is not connected:

  1. If you are using a USB connection set the correct COM (Arduino Mega 2560) port and set the baud rate at 115200, if you are using the 3DR Radios be sure to select the correct COM port and set the baud rate at 57,600.
  2. Make sure that you have downloaded firmware to the APM board, click¬†here,¬†unzip them and install them on your computer, if this does not work try using another Micro USB Cable to connect the radio to the computer, try using another USB port or even using another computer.