I'm going from memory here, but...
First you need to select the device type under the device family menu.
I think the express is a pic24fj32a002
If the "on" under VDD is not checked, then check it.
Plug the pickit into the header on the LE making sure the arrow alighns with pin 1.
You need to leave the LE unplugged - the pickit will provide the power needed for programming.
I like to erase the pic before programming it - click erase button
Under file, select import hex and find the hex file. If you have not downloaded it yet, look for firmware on the wiki.
Click program.
Takes a few sec and you are done.
I'm pretty sure this procedure is also on the wiki.
Good luck.