There is an extensive guide written by SparkFun explaining how to work with Arduino Pro Micro:
https://learn.sparkfun.com/tutorials/pro-micro--fio-v3-hookup-guidePro Micro & Fio V3 Hookup Guide.
There are specific drivers for the board, so make sure you have them installed. There are also board files for the IDE, which allow you to select the Pro Micro in Arduino software.