The PICkit's work fine, I've used them for ages. The only problems likely (assuming that the PICkit and PIC actually work) are improper connections to the target board which also may have circuitry that interferes with the programmer.
Have you looked in the PICkit manual? It has a small discussion on how to properly connect a PIC while programming and what not to do, and also programming with the PICkit supplying power or from external power. If you follow these fairly simple guidelines, then the programmer should work.
Starting with any new microcontroller is a big ask, especially if you want to start with a bootloader. There are lots of things to learn. Just considering the bootloader, you need to know how the chip operates, how to connect to it, how it is set up internally, how to program it, decide how the bootloader will operate, learn how to write code for the device, write and debug the code, create an interface that can read HEX files and transfer the data to the PIC via some link and deal with errors.
This is not trivial. If you are new to programming these devices, please start small and work up to something larger as you gain knowledge, otherwise you will get into all sorts of frustrating trouble. The PIC 18 series have a lot of internals to set up, depending on what you want, so the best advice has already been given - read the data sheet. It is easy to breadboard a PIC and start with the infamous LED flasher. Just getting to that stage can be an interesting journey.
Bear in mind also, that the PICs have a limited program rewrite capability, but in practice good enough to develop code with.
cheers
Tony