The MikroC IDE generates a .HEX file with the same name as your project.
That .HEX file needs to be programmed into your PIC.
If you check the config setup in MikroC it allows you to set up hotkeys (see F11) where you just press the key like F11 and it automatically opens up your other programmer software and programs the .HEX file. So you write all the code in MikroC, compile it, then just press F11 to program your PIC using the PICkit2.
It is also covered in the help file for MikroC.