On the Interpreter Tab screen, there is an Install or Update Firmware link. Go ahead and click it.

This will take you to a Firmware Install Screen.

While holding the BOOTSEL button, plug in your Pico. It should show up under the Target device fields.

If the board is new out of the package, you do not need to hold BOOTSEL while plugging it in.

Click the Install button to begin installation. It will take a few seconds for it to copy the firmware onto the board.

When it has finished copying, click Close.

You can try having it detect the port automatically.

If it comes up with a message that it couldn't find the device, try hitting the Stop/Restart button at the top a few times.

You can always select your port manually. Select the your port from the Dropdown menu. These will vary from system to system.

If it comes up with an error that the device is busy, try clicking on the Stop/Restart Button at the top.

Once it connects successfully, the Shell window should show MicroPython running on the Raspberry Pi Pico.