UNO R3 board not detected
It shouldn't be detected by Windows. You must install the software for your operating system here. Scroll down to Arduino 1.0.5 and click on windows. after installing, open up the Arduino IDE (it should be labeled "Arduino" on the desktop or start menu/screen). Plug in your board, and go to Tools> Serial Port. Select COM3. If it is grayed out, it has been auto-selected for you. The reason it won't work without the software is that the UNO and other Arduino boards don't have "true" USB. They basically emulate a serial port over an usb connection.