Everyone uses 8n1 (8bits per serial word, no parity, 1 stop bit).
The speed setting depends on what your microcontroller is configured to use (a function of it's clock frequency and UART settings).
The port setting in hyperterminal will need to be set to the number of the port you are using on the PC.
I dislike the hyperterminal user interface. I usually use terminal from win95 instead.
A terminal program with more feature was mentioned in a reccent thread
Serial only provides byte-level transfer. What you need is a transfer protocol. You can read up on the standard XModem, YModem and ZModem protocols (in increasing level of functionality and complexity). Of course, the PIC should implement the protocol as well. And dont expect blazing speed from the humble serial port.