You won't see the PLUGIN itself in the auto-discovery window. You will see JMX servers that can be managed in there. But if your JMX plugin can't auto-detect anything out there that has a remote JMX MBeanServer, you will not see anything.
Are you going through the exact demo, with the demo's JMX example app? If so, it should be started with the JVM command line options needed to start the JMX platform MBeanServer with its remote interface opened up.
Download the source code used by the demo, and look at the start script at /jmx-app/prebuilt/runjmxapp (this is the path relative to the demo source .zip file that you can download from that demo page). In that start script, you see how the demo starts the JMX app with the remote JMX MBeanServer remoted:
java -Dcom.sun.management.jmxremote.port=19988 -Dcom.sun.management.jmxremote.authenticate=false -Dcom.sun.management.jmxremote.ssl=false -jar jmxapp.jar
BTW: This blog talks about this JMX management stuff some more: http://management-platform.blogspot.com/2008/11/monitoring-custom-jmx-mbeans-with-jopr.html