I can read this question 2 different ways:
1. How to I detect when a USB->Serial adapter has been inserted.
In this case you could do SerialPort.GetPortNames in a loop and see when that changes
2. How do I detect when I'm connected to a device through my serial port.
There is no surefire way to be able to determine when something is connected to the com port without sending data. There are some additional pins that are meant to be used in this way, but it really depends on the cabling involved. See this post for more details on the types of cables, benefits, and drawbacks.
If you can guarantee the pinout of the cable and that the device you're connecting sets DTR high, then this may be a viable approach.
If not, then you may have to poll each com port and send some data and see if you get any response.
WMII believe you can