Hi,

In the tools menu of the PICkit2 software, at the bottom there is a download pickit 2 firmware menu item. If this does not work then you should be able to navigate to where you have manually downloaded the firmware. The programmer should then update itself. The busy LED should flash.

A bit confused when you say DOS window. I am using a very similar setup, and see no dos windows, maybe thats a windows 7 thing, I am on XP.