Some PIC chips have an internal oscillator, some don't. Open the datasheet for that particular PIC chip and see. Just search for "PIC16F84 datasheet" in Google and you'll find it.
If I read
the datasheet correctly, PIC16F84A has no oscillator built in (see page 22-23),
If the chip has no oscillator built in, most pic chips can also be configured to use a resistor and capacitor to give it a clock, instead of an oscillator. Again, read datasheet.
You can write the program and select the proper bits (use internal osc, frequency etc) and after programming the chip will just run.
I would say most pic chips today can be programmed just by connecting the pickit to them - i don't have experience with old pic chips though (think 3-5 years old).
I prefer to put the chip on a breadboard with the 5v and ground wires and connect the icsp wires to the breadboard and the pickit just programs, but it's possible to run the chip from the pickit (at least it's possible with pickit3, i didn't use pickit2 so far)