To start with you probably need to use the MPASWIN that came with your PBP CD.
Install MPLAB from the CD to the default place and MPASMWIN will be there. Sometimes the one downloaded will not work.

Then I will guess that you are using Micro Code Studio as a code editor. Go to Tool on the tool bar and select compiler options then under the Assembler tab select MPASM.

Then give it a try.