If the code is compiling look in your project directory for a HEX file. If one is there then MCS and PBP are working. I would not bother with trying to get MCS to run the PicKit2. Use the PicKit2 software for putting the code in the chip.

Make sure each project has a directory of it's own.

So let us know if you have a HEX file after you hit F9 in MCS.