First, what version of Windows do you have? I made a guess and filed this under Win7, but you may have some other version
Second, take a look here:
http://answers.microsoft.com/en-us/windows/forum/windows_7-system/microsoft-teredo-tunneling-adaptor-not-working/085a88bb-16cc-4e30-a4d6-ac987038a648
or: Open up your device manager, you then need to click the action tab at the top and click add legacy hardware
then click next and next again it will then scan and find nothing click next on the screen after that.
Wait a minute and you will see a list of hardware appear, scroll down and choose network adapters then click next, then from the left column choose Microsoft then in the right hand column scroll down and choose Microsoft Teredo Tunneling Adapter, then click next and this will install it.
To check just make sure it is set to show hidden devices, right click on device manager on the right and click view then show hidden devices.
(Answer copied from Tom's user David_w in another thread.)