I built kit 160 and 149 years ago, but it only worked with some PIcs, therfore I use , well, i don't know the name, but once, chippie send it the forum, I copied that and make it work for many Pics. I'm using it. I don't have to use pwr supply to program. The kit is very small, and I connect it directly to COM.
You can build Nigel's programmer picpro40, it's verygood, i'm sure. But there is some problems to XP. I don't know, just ask Nigel for details.
To work directly with MPLAB, I don't know what he meant, but I use MPLAB for my PICs, it's oki.