Step 1: Trace the fever cascade from the start. An infectious or inflammatory trigger makes immune cells secrete cytokines - $IL\text{-}1$, $IL\text{-}6$, $TNF\text{-}\alpha$ - which are the true endogenous pyrogens.
Step 2: These cytokines reach the hypothalamus and switch on cyclo-oxygenase, so the immediate downstream product that actually raises the set point is prostaglandin $E_2$.
Step 3: Confirm by pharmacology: COX inhibitors (NSAIDs, paracetamol) cut $PGE_2$ and abolish fever, proving $PGE_2$ is the effector molecule.
Step 4: Rule out the rest by their real jobs - $PGD_2$ promotes sleep, $PGF_{2\alpha}$ contracts smooth muscle, and $PGI_2$ is a vasodilator/antiplatelet agent; none reset temperature.
\[\boxed{\text{PG E2}}\]