Are you using MPLab?
Do you have it wired up correctly? It should end up going into 4 different digital ports. It sends a signal of 1 to them. Do you have it blinking the lights? There is a guide somewhere on here that tells how to do all of that. If you want I can send you the code I wrote for it as an example. I will try and find the link on here
Edit: Here is the link for the user guide for the sensor if you need that:
http://www.usfirst.org/uploadedFiles...%20_121007.pdf