It's greyed out because the Digispark doesn't have USB to Serial converter hardware, so doesn't present as a COM port.
If you want to pursue that, you can give DigiCDC (
link) a go, but you're probably much better off getting a USB to serial adapter (i.e. CH340 are cheap on eBay and work well, FTDI are good but cheap ones are clones that can cause problems), and wiring it onto the GND, TX and RX pins on the Digispark, and using the hardware serial stuff.