This post seems to be about a month old so maybe you've already figured out the solution, but...
It seems to me that what is likely happening is HyperTerminal is not configured to display the keys you're typing - aka "local echo". If this is true, then what is happening is:
1. you type a character (it is NOT displayed in HyperTerminal)
2. your Netduino receives the character
3. your Netduino blinks the LED
4. your Netduino sends the character back to HyperTerminal
5. HyperTerminal displays what it received
The question is - what are you expecting to see? If you press "A", are you expecting to see "AA"?
Try looking for a setting in HyperTerminal that allows you to turn ON local echo.
I ran into this same exact issue with Putty this weekend.
Hope this helps someone!