Be careful when installing the JTAG header because this is a fine pitch connector and difficult to solder unless you have the proper fine point soldering tip. My best advise is to use solder flux and don’t worry about bridging pins with solder at first. Make sure all pins are properly soldered, and then using flux, hold the board at an angle so that the solder falls onto your soldering iron. A little solder wick can also be helpful to remove solder bridges.
Which JTAG emulator did you buy? I recommend Blackhawk USB200 as a minimum if you want decent performance.
After you have installed the connector and connected your JTAG emulator, open the target configuration and run the test. This takes about 10 seconds to complete, and you do not want to see any errors. This will tell you if your connector is installed correctly.
The target configuration is where you specify the GEL file. In the advanced section, select PRU and you will see an entry for GEL file. I believe that when you use the PRU support package, the CCSV6 project is already setup so this should already be working for you.