hey Immort, the reason a pic axe can be programmed with just a serial cable is because a pic axe is a chip with a bootloader program pre installed on it. A bootloader is a program that can accept a new set of instructions via a serial cable or usb, and write to its own memory space. Just a blank standard pic requires you use a programmer in order to load any sort of code, and not all pics can write to their own memory.
Serial is the typical protocol that is used to load your code to the bootloader. Usb is looking like a very attractive upgrade to the serial method, however it completely changes the communications software on your chip and on your pc. long story short usb is not a simple hardware fix and the serial cable you linked is for pic axe which is different then a blank pic because when you buy a pic axe you are paying for the bootloader pre-installed on it so you can use there simplified software to write a code.
I like your circuit tho, looks like it makes use of "charlie-plexing" to operate you LEDs.