HyperTerminal has been removed from Windows Vista and later releases. It still can be a very handy application. For example to connect to serial devices.
Putty is a nice alternative, but lacks some functionality like file transfers. If you want to use HyperTerminal, you can download the files below, extract them to any location on your PC and simply run the application. They're simply copied from a Windows XP installation.
HyperTerminal for Windows (257 KB)