It's a miniDV camcorder right? IF you connect through USB (althought you shouldn't need to) then I would have expected a disk for drivers to be included so it will work. However, for best results you should transfer through firewire anyways so no greate loss really.
So you now have a firewire port on your PC and have connected the camcorder to PC through it. Turn the camcorder on and make sure it;s in playback mode and not record mode. Assuming you have a Windows (XP?) PC then when the camcorder gets turned on Windows should 'ping' its acknowledgement. At that point you rcapture s/w shoul dbe abel to take control of the camera and capture the footage on the tape.
So unless you've done something silly like had the camera in record mode then it sound like you've done everything right.
I'm not familiar with Ulead s/w. I believe window movie maker can capture from it so give that a try.