Hello World with Arduino Leonardo
Things to check:


Are you running version 1.0.1 of the IDE? It is required to interface to the Leonardo. See Reply #6 from this thread in the Arduino forum.
Have you reburned the firmware for the Leonardo? See Reply #3 from the above mentioned thread.
Are you using a USB 3.0 interface? If so, using a USB 2.0 cable in a USB 3.0 interface has been known to cause issues. See this thread from Adafruit.