That board it comes with is for debugging.
There are tons of extra headerboards for each device that can be used for debugging, Only if the PIC doesnt have internal circuitry for debugging.(not many have) But since your not debugging. Your just programming, you dont have to worry about any of that.
You really need to do some reading. Its very easy. Program using ICSP.
PicKit3 operates the same way as pickit2, There are 6 pins. With the programmer faceup and the pins facing towards yourself. the pins are numbered from left to right. Ill explain the pins below.
PIN 1 - MCLR / Vpp (programming voltage. normally 13v) connect to PIC's MCLR pin, and causes the pic to enter programming mode
PIN 2 - Vdd - Powers the PIC. you may use a diffrent powersupply (normally 3.3v-5v)
PIN 3 - Ground - Connect to PIC's GND/Vss
PIN 4 - DATA - This connects to the PIC's Data pin or DAT
PIN 5 - CLOCK - Connects to PIC's CLK/CLOCK pin
PIN 6 - LVP - Low volage programming, were not using LVP so leave it alone
Okay so now.. grab yourself a pic socket. goto microchip and find the data sheet for the device you want to program.. read teh PIN DIAGRAM section, and it will tell you cleary which PINS on the PIC are which. then just connect the wires accroding to the pickit3.
For more information check:
http://ww1.microchip.com/downloads/en/DeviceDoc/PICkit_3_User_Guide_51795A.pdfDont let it scare you, Read it thoughly.