Currently I have no Sheeva plugged in, but what I remember:
Try to open "Computer management" dialog and in Device manager locate Composite Device related to sheeva. Open "Properties" dialog and on one of tabs, there is checkbox with something like "Load VCP..." Select this checkbox, press Apply or Close then disconnect sheeva and connect again. This procedure definitelly helped me on Windows to recognize USB serial ports. I think it is related to missing info in eeprom stated some posts earlier.