This is by far the most common fault report I get, this error message usually means the PIC isn't being switched to programming mode. This can obviously be caused by a fault or mistake in the programmer, but is almost always caused by too low a supply voltage. To switch a PIC to programming mode requires slightly more than 12 volts on the MCLR pin, often 'wall warts' don't supply a stable clean voltage and fall short of this under load.
To check, select 'Hardware' from the 'Options' menu, then turn Vpp 'On' and measure the voltage on the actual MCLR pin (on some programmers you may need to turn 'Vdd' on as well).