I presume you've installed everything in the correct order?, usually you have to install the software first, then connect the hardware, the installation instructions should cover how to do it?.
I've never actually seen or used one, but I presume you have to have a specific version of MPLAB to use it?, the earlier ones didn't have USB support, but it was added in the later versions.
Often when you add USB items, you have to insert your original Windows CD, has it asked for that?.