Hi,
I really have to agree with Oznog, nothing beats the ICD2 or its clones.
As for the language, the lower level, the more you will understand the chip, and the way it works. Basic is an easy way to start, but the problem is when you get into difficulties, you will have a much harder time figuring it out.
I think Microchip (the makers of the hardware!) have produced a C compiler only for the 18Fxxx and dsPICs for a reason. And their student (free) compiler is good, even after a couple of months, when the optimization feature shuts off. You would learn the most about using these micros by starting in Assembly, with the free Microchip tools, even if you only spend a month or two, and build a few projects. Then you can decide about a higher level compiler. I've heard PicBasicPro is pretty good at producing small code, but for some reason I think most C compilers produce smaller code than a BASIC would give you. Also, some would argue that C is closer to the hardware than BASIC. Perhaps, if you really want to stick with BASIC, then use a 'free' tool for a while, and try out several, before spending your cash.
Best wishes,
Robert
P.S. Why don't you visit the Microchip site, **broken link removed** and take a look, or download the MP Lab. It has all the tools to build your hex file in a very easy to use Integrated Development Environment. Yes, the WinPicProg software will burn your hex file to the micro, once you have assembled it.