Looks like a serial port programmer to me...Probably a JDM or an RCD clone.. both work pretty much the same using the serial port lines to power the programmer(cant see a dc supply jack)
The s/w on the cd should tell you how to use it...Is there a Readme file?
You can use it to program pic chips, but it depends on the software supplied as to which ones are supported.
If its a JDM clone then there is plenty of software out there that can be used with it...Ponyprog soft supports JDM and has a comprehensive list of supported devices
Could you post up a list of the files on the CD?
Programming is fairly easy once you have done it a couple of times... load your hex file and program the chip... ( Assuming you already have a compiled hex file)