It looks like that one you have bought has an ICSP port - In Circuit Serial programming Port. This means that you don't actually need to plug your pic into the green ZIF socket, program it, remove it and plug it back into the circuit you are making.
The PICKIT2 and PICKIT3 both use the ICSP port to program the pic - the advantage with this is that you can leave your PIC microcontroller in the circuit - connect up 5 wires from the PICKIT2 or 3 (or in this case - your programmer) and you can program it that way.
Check out this image from the ebay listing:
it shows the underside of the board and has written on it six things in a line. These are the connections that go to your pic microcontroller.
-NC (this means no connection, just leave it out)
PGC (this is your programming clock connection, it connects to pin 12 of the pic16f628a or 16f648a)
PGD (this is your programming data connection, it connects to pin 13 of the pic16f628a or 16f648a)
GND (this is your ground connection, it connects to pin 5 of the pic16f628a or 16f648a)
VCC (this is your +5v connection, it connects to pin 14 of the pic16f628a or 16f648a)
VPP (this is your programming voltage connection, it connects to pin 4 of the pic16f628a or 16f648a)
You can follow along with the tutorials in assembly which are quite fun - I then highly recommend looking into swordfish basic instead of assembly. It is easier and you can do some great things with less code!
Infact, I am working on a development board which will be excellent for those like yourself looking at getting into programming. although it won't be available until Christmas.