I would presume that you are using a bootloader with you PIC. Microchip provides two type of bootloader MCPH and USB HID and their drivers.
I haven't used the USB HID bootloader, but I have extensive experience with the MCPH one, if you are using the standard bootloader and drivers, then in order to make the PC recognize your PIC, you need the keep the bootloader button pressed or short it to ground. The bootloader button is located at B5, or B6 or B7.
If you are using the same setup of bootloader then you may like to check ps3jailbreak scene, as the dongles use the bootloader extensively.
Also you should confirm that -USB and +USB are connected in right order, often if the connections are reverse, PC gives the device not recognized error.