If your using in circuit programming then have a look in the PK2 software package on how to sire up the circuit, theres a great wiring diagram there
If your programming it separately (this is what I usually do), then you simply need to connect the following pins for use in the target circuit (don't worry about the external oscillator if your using the internal one)
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Note; (5 pins, positions vary for different PIC's, but the 18F1320 is shown above)
You don't need a 10K pull up resistor on MCLR when it is not being used with ICP (in circuit programming), but you do need 5 volts to enable the cpu to stop continually resetting... This could very well be you fault!
And to program the PIC, I use a breadboard like this,
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Handy as you can program almost every DIP package PIC easily