That means that your PC could not communicate with the phone. Download and install the drivers from
here, then try again. If you still experience problems, can you please specify what your Windows version is and the Android version on your phone (Settings > About phone)?
Regarding the custom roms, you'll need to install a custom recovery first (I prefer using TWRP for a touch-enabled recovery, or AmonRa 3.0.6 for a stable, bug-free recovery). Once you have a recovery installed, just download a custom rom of your choice, put in your sdcard, boot into recovery, wipe data, cache, dalvik-cache and system, then flash the custom ROM. If the rom doesn't come with built-in gapps, then also flash the recommended gapps package.