Make sure you have the right item selected in the Tools > Board menu. If you have an Arduino Uno, you'll need to choose it. To check, read the text on the microcontroller (the larger chip) on your Arduino board. Then, check that the proper port is selected in the Tools > Serial Port menu
Make sure that the Arduino board is plugged in by the USB cord. The serial port menu refreshes whenever you open the Tools menu, so if you just unplugged the board, it won't be in the menu. Make sure that no programs that scan all serial ports are running without you realising, like PDA sync applications, Bluetooth-USB drivers or virtual daemon tools, etc.