Depending on your design, you can now make all the required connections and program your PIC. There are a few catches that you should know about. Design for ICSP is important. Microchip provides a nice PDF application note about designing for ICSP. http://www.microchip.com/stellent/idcplg?IdcService=SS_GET_PAGE&nodeId=1824&appnote=en011744
Here are some tips and examples of ICSP designs from my previous instructables.
Tip #1, Threat level: Important
Don't connect anything else to the CLOCK and DATA pins (usually RB6 & RB7, PGC & PGD).
Just don't do it. There are situations where very clever engineering types get away with it, but don't do it. The components attached to the pins will skew the clock and data signals, resulting in unpredictable programming. Additionally, if you ever want to use an in-circuit serial debugger, you can't. Just don't do it.
Tip #2 Threat level: Explosive
Always use a diode between the programming voltage and system voltage.
If using MCLR (master clear) on a PIC you must provide some voltage on the MCLR pin through a 10Kish resistor. This is also the pin to which you will apply ~13 volts to enter programming mode. I put a 1n4148 (equivalent) diode between the resistor and MCLR/Vpp pin (as shown in the schematic and rendering below). This keeps the programming voltage on the Vpp pin, preventing destruction of other components on your board.
Tip #3 Threat level: (re)tired
Low voltage programming is holding you back, man.
I have never been successful with LVP. I have never seen it work (consistently) with my own eyes. Just bite the bullet and spend $2.50 to build a JDM2 programmer.