Quite strange. I just connected a brand new board to the PC and the drivers were installed correctly (ready to use).
What OS do you use? I'm not usre if there a problem with 64-bit Windows OS version.
Check the Device and Printers and see if you have device as in picture below:

If not you can try and re-install the PEmicro drivers:
https://www.pemicro.com/downloads/download_file.cfm?download_id=301
In CW project, a connection to be used with this setup is P&E USB Multilink BDM.
Regards,
iggi