probably one of the following:
1. your are not in test mode (diagnostic connectors not connected). To verify if you are in test mode turn the ignition to on (without attempting to read with Ecuflash) and after a few seconds the radiator fans should cycle.
2. You need to wait until prompted to turn the ignition on and then immediately hit ok.
3. You are choosing the wrong read method (should be 2005-2007 dbw wrx/sti for an 06 2.5i).
All of this is in the main ecuflash troubleshooting faq linked in this faq.