when pressing the "0 key" make sure FS has the focus : the moment you press the "connect to FS" key it is PFE that has the focus
sorry what do you mean "Focus"?
focus means that FS is the active window : so after pushing the "connect to FS" button in PFE, click on the flightsimulator window to make sure FS has the focus and push the "0" button (NOT on the numlock part of your keyboard).
If that does not work you have a problem with your installation of PFE and or FS.
Where is PFE and flightsimulator installed ( hope it is not in the program folder, because that is protected by windows7/vista)