I'm not sure what terminal software/connection you're using, but when I was configuring mine the AT commands typed into the terminal window were not echoed (i.e., you couldn't see what you typed in the terminal window). They also had to be in ALL CAPS and typed very quickly. So, I typed the commands out in a text editor then copied and pasted them into the terminal window. Having said that, from the Guide:
If that doesn't work I would take a look at the USB-to-TTL module. As mentioned in a previous post, connecting to HC05/06 chipsets with anything but CP2102-based USB-TTL converters is sketchy.
You might want to check out the reviews on the Virtuabotix BT2S page and their configuration guide for some additional info that could help.
I succesfully get answers from AT commands. I succeed to change baud rate, device name, changing from master to slave and such (the device was answering to AT commands),
But could not decrease it below 9600 (I could set values above noproblem)
I used tera term (for windows), everything went fine.
Before I tried (unsuccesfully) Hyper terminal and others on both windows and mac.