Do you see any errors/exceptions on the JBoss console while startup? Maybe it's webserver was not started.
Oh, and for Windows step 5 is:
5) Open a Command Prompt, 'cd' into the bin directory and run: run.bat
Thank you all for your replies.
I removed JDK1.5 & installed JDK1.6 - now the jboss5 console works fine :)