I use TurboCNC (TCNC) and like it a lot. If you got the can't find tool message (ignore it for now - I still don't use a tool file), I think you have already managed to start the TCNC software. I run it in DOS but I believe it can also be run in Windows, it will just be less stable. The reason you motors are not turning is most likely that you have not set up the configuration file - it's name TURBOCNC.INI and you can edit it manually, or use the Configuration menu at the top of the screen. You will need to know which pin on your parallel port has the step signal and which has the direction as well as what the pitch is on your lead/ball screw. Concentrate on getting just one motor to turn and then the others will fall in place.
There is a pretty good Yahoo Group for TCNC :
http://tech.groups.yahoo.com/group/turbocnc/
They can give you more help.