Hello,
Yes, when you press Program there should pop up two messages/windows, first one with a progress bar that says Programming and then, when it can't reset the PIC, a second one saying Please reset target microcontroller in order to access the bootloader process... When you reset the PIC the second window will close and you can monitor the progress in the first window, it only takes a couple of seconds depending on the size of the program.

Have you verified that the serial communication is working, ie by using HSEROUT/HSERIN to send and receive data. Perhaps you've mixed up the RX/TX lines?

/Henrik.