WayneJ's video series on PIC programming
To follow with these videos, you will need MPASMWIN. Use the disk(s) that came with your Microchip PicKit to install MPLAB IDE. MPASMWIN is bundled in as well and will be installed. It is what will be used to make the .HEX file. Once done with the install, go to the program list and look for for the "Microchip" folder, MPASMWIN is in that folder. You will also need to install the PicKit2 software from the disk.
You can download MPLAB IDE software for Microchip Technology Inc. from the bottom of the page. Look for MPLAB IDE v x.xx
The PicKit 2 software can be downloaded here
The PicKit2 User's Guide can be downloaded here