How to connect a Nexus 6p to Windows 8.1 in MTP mode
When you plug in the device you should see in the notification shade something that says USB for Charging : Touch for more options. 

If you tap that, you will have a dialog open with the following:

Use USB for


Charging
Just charge this device
Power supply
Charge the other connected device  
File transfers
Transfer files to Windows or Mac (MTP)
Photo transfer (PTP)
Transfer photos or files if MTP is not supported (PTP)
MIDI
Use device for MIDI input


You want to select File transfers to have Windows detect the device as an external media device.