Normally you would write the code, assemble or compile it, load the .hex file you created into the programmer software, erase the pic, program the pic and then verify it. I have not use the one you have, but that is the general sequence.
You should be able to put the chip in programmer, load the programmer program, and just erase the chip. If you get no error, then all is wired correctly. And a read (load) from the pic should show all the bytes set the same value (00h or ffh).