The Inchworm quick start poster (works with the Junebug just select PICKIT2 instead of ICD2) should show you the basics of getting your first program running.
Try the Swordfish BASIC example in the manual, the command line option does pull the VPP (MCLR) to 5V after programming and flashes all the LEDs. It's a great compiler with a terrific interface IMO.
Download the free SE version Swordfish Compiler
and the PK2CMD.EXE program PK2CMD 1.20 **broken link removed**
I understand everything you suggested but I am having a problem knowing what to do with the PK2CMD.EXE program PK2CMD 1.20. Could when and how to use it please?