When creating a new project using the New Project Wizard, you will be given the option to select which hardware you will be using to debug your chip, shown in the following figure. If you want to use P&E's USB Multilink Universal [FX]/USB Multilink, check the checkbox P&E USB Multilink Universal [FX]/USB Multilink.
Note: Once the project is created, a new connection will be created with P&E's USB Multilink Universal [FX]/USB Multilink as the default settings. Use Debug Configurations if you want to edit or change your hardware interface settings.