Ah ok. You need to install the Serial Driver for the Photon.
Go here: Updated Windows Driver for Core and Photon to download the new driver.
Once downloaded follow this tutorial Installing the USB Driver on Windows & Serial Debugging except use the driver you downloaded from the first link (the Photon driver, not the core driver).
Once correctly installed (the yellow exclamation mark will disappear) you should be go to do a particle setup again