Hi Fredrick,
The best way to do it is to add the connection to MCLR as per Steves previous message. It is rock-solid, I've been using ot for years. If you don't want to do that try holding down the Reset-button, click compile and program and when the program window pops up quickly release the reset-button.

The virtual COM port MIGHT be a problem, I've never had any problems personally but I've read about bad drivers and strange chip-sets in some of the cheap USB<->RS232 dongles.