You should have some parts under c:\Program Files\Orcad\Capture\Library\PSpice. If you look in that directory you will see that all the part files (.olb) have a matching library (.lib) which contain the Spice models. When you place a component, select "add library" and select the libraries in that Pspice directory. Only use parts in those libraries for creating your schematic. If you look in the HELP under Pspice there are some hints on creating a schematic for simulation. There are probably tutorials on the internet as well.
Keith