The "Device Reference" is not a file, it is a subdirectory under your PBP3 directory.

If you installed PBP3 under your root directory then this would be "C:\PBP3\DEVICE_REFERENCE".
If it is installed in the default location then it should be here: "C:\Program Files\PBP3\DEVICE_REFERENCE".
The "file" would be the PIC device file located in the "DEVICE_REFERENCE" subdirectory with a ".INFO" extension.
For the 16F886 this would be "PIC16F886.INFO"

Also, just curious when you use MPLAB and the PICKSTART PRO programmer, after programming the PIC have you tried reading back from the PIC and checking if the config bits are set?