Your fuel pump should turn on, if you have the key on AND the kill switch. If not, check your tip sensor.
To connect to the ECU, you might have to designate which USB port to use. Click "set" in the top row of items (in grey color) and click RS232C... That will open the ports menu. You will have to try ports 1 thru 8 individually until you can connect. You also have to have the key on and the kill switch in run position. Also, if you are using a USB adaptor cable on the programmer cable, sometimes the software is picky on what kind of adaptor driver you use.