Ok, i think i may know what your problem is, basically the error is telling you that nothing is connected to the PK3. This is narmally due to there being no power on the TARGET PIC.
If you are powering the Target PIC then the PK3 may not be able to see this.
There is a checkbox in the PK3 software to allow you to power the target PIC from the PK3
SELECT;
Programer/Settings
Then will display a screen
Selection the Power Tab and enable the power target circuit from pickkit.
Set your required voltage. in your case 5.0v
Hope this helps