You should get the software problem hammered out before buying anything else. Your hardware may be just fine. The 'part of a filename' error is probably happening because the files its trying to compile have spaces in the directory names leading up to it. If you don't surround those in quotes, it won't know.
if you type:
Program Files\Microchip
It sees
Program
and
Files\Microchip
Surround them with quotes, like so:
"C:\Program Files\Microchip\directory\filename.ext"
William gave you a hex file to try and burn, and the only information you've given about the problem is 'It doesn't work'. Need more information if anyone's gonna help. Screenshots, error messages, descriptions of your setup, etc.
Yes, it's frustrating when it doesn't work, especially when you're first starting and have no idea how to troubleshoot things to figure out the cause of the problem. It feels like its hopeless and random. But take the time to try and resolve it, breaking it down into little testable pieces, and you'll be amazed how much you'll learn. The first week with an Inchworm cost me some hair before I got it working, but I learned a hell of a lot resolving that problem.