After opening the Pickit 3 programmer program, select the device you want to work with (correctly selected in your screenshot, PIC32MX795F512L).
On the top left, select 'file' and 'import hex' in the submenu.
Navigate to your download directory, where the EtherDongle2.hex file is, and select that file. Import it.
The hexadecimal values in the big window underneath the commands should change and the first line should read:
1D000000 0F403CBB 00000000 0F404333 00000000
Make sure you apply power to the chip when you program it.
Don't try to write it if you cannot get past the import. If you only see FFFFFFFF values, the import didn't work.