Hello,
If you didn't change the config register of the router and they are brand new, the default parameters for the console port are 9600 baud, 8 data bits, 1 stop bit, and no parity. Could you double check that the software you use to console the router is configured with this parameter?
If you have other Cisco router, can you check if you can connect with the same software and blue cable?
And you have an other blue RJ45 cable that may be worth trying it as well.
The following documentation explains how to apply correct settings for terminal:
http://www.cisco.com/en/US/tech/tk801/tk36/technologies_tech_note09186a0080094465.shtml
Those are the most common issues reported for this kind of problem: