As long as you do not get a positive identification on the device ID not much else matters.
Once you get that figured out you need a pullup on MCLR to force it high which allows the PIC to run.
It suggested there is not a good connection in your ICSP wiring. It may well be that the header pins are not long enough, mine never were but they would catch just enough to let you think the were. Then check the wiring again.PKWarn0003: Unexpected device ID: Please verify that a PIC18F4685 is correctly installed in the application. (Expected ID = 0x2760, ID Read = 0x0)
Once you get that figured out you need a pullup on MCLR to force it high which allows the PIC to run.