Arduino Pro Micro troubles
The Pro Micro, like the Leonardo, cannot automatically reboot into the bootloader like boards such as the Uno and Mega.  Instead it relies on the sketch running on it listening for a special combination of events (open the serial port, set the baud rate to 1200 baud, close the serial port) to activate the bootloader.

If, for whatever reason, you don't have a working sketch installed on the board (such as you aborted the upload part way through) then there will be nothing there to listen for the "reboot into bootloader" instructions.

So you need to manually enter the bootloader. Fortunately it should be easy enough, but timing is all important.

When you first plug the board in, or when you press the reset button, you get a few seconds where the board is in the bootloader.  On the Leonardo that is signified by the LED glowing and pulsating - I don't know off hand what is shown on the Pro Micro.

As long as you press the reset button just before you compile and upload your sketch, and as long as the upload portion doesn't take too long to start (tip: compile it before uploading, it makes it faster) it should then install the sketch into the board and from then on the auto-reboot should start working.

(Note: I haven't used a Pro Micro - this is all from my experience with the Leonardo which I believe uses the same bootloader.)