Sorry, but I never use MPLAB (it seems FAR too complicated), I just use it's assembler MPASMWin, which is installed along with MPLAB - installing MPLAB seems to be the only way to get a recent version of MPASMWin.
If you're following the same steps as you did for the 18F chip, that could be a reason for the problem? - the 18F chips are quite a bit different, and MicroChip introduced a number of different options for them.
The bank switching 'message' isn't an error, it's just a warning to remind you that you're trying to access a register not in bank zero - it takes no notice of the fact you've just switched banks!. You can turn this warning off, and my later tutorials do so.
To use MPASMWin you simply run the program, select the assembler file you want in the requester (or type the path and name directly), and press the assemble button - it's that simple!.