For the older equipment like the USB dongle, mr16, and ssr4, you have to program the pics before inserting in the device.
J1sys makes some universal adapters, but for my first one I just used an old piece of breadboard and some old sockets. The information for which pins on the pic to hook to which pins on the pickit are available on the microchip website. The info is buried in the PDF files for the specific pic you are trying to program. I haven't looked, but this info is probably on the wiki...