You also need to add the output of your regulator (say a 7805) to the VCC net, and the GND of your regulator to the GND net. If you have used a two pole connector on the input there would be no connection to the VCC and GND nets to supply the PIC.
To do this click on the "terminals mode" button on the toolbar and drop a power terminal in. Change the terminals net name to VCC. For GND just drop a GND symbol and hook it up (note you can specify a net if you wish, but it defaults to GND).