@Fahim Chandurwala, thank you very much. It worked!!
I hope our friends from Wolfram update the documentation. There was no way that I would have figured that out without your help.
Now this works. Using the Arduino Sketch mentioned above.
DeviceOpen["Serial", {"\\.\COM10", "BaudRate" -> 9600}]
readSensor[connection_, type_] :=
Module[{}, DeviceWrite[connection, type]; Pause[.1];
FromCharacterCode[DeviceReadBuffer[conn]]]
(*Read Temperature*)
readSensor[conn,"T"]
(*31.00000*)
(*Read Humidity*)
readSensor[conn,"H")
(*42.00000*)
