Please read the first questions in my FAQ here:
http://www.lvr.com/usbfaq.htmTo control LEDs on your PIC board, you need to write and compile a program for the PIC, store your firmware (program) on the board, and run the program.
To access the board via USB, your device must support USB protocols and the requirements of a USB class or other device driver. Microchip and Lvr.com have example firmware and PC software for communicating with the device. For example, my HID code sends and receives two bytes. You could use these bytes to control LEDs on your board. Take a look at some of the source code to get an idea of what's involved.
If you want the quickest possible way to communicate via USB, I recommend connecting one of ftdichip.com's FT232x series chips to a serial port on the PIC. If you know how to do serial-port communications, you can use these chips.
Jan