Jellis00

You can point explorer to the hex file in ProgramFiles\Microchip\Pickkit2 v2 or similar. That is what it is looking for.

as for the yellow box telling you no device found, it is very likely you are connecting the pickit2 to an unpowered board which may be loading the pickit2 resulting in this message. You may also get the ding-dong of USB device disconnection. If this is happening, I advise you should try to program an isolated PIC. No other components on the board. Another way is to power up your board and then try programming with the pickit2. It automatically senses that the board is powered and makes adjustments to its power conditions.

Hope that helps