The PIC-MCP-USB does not need any external PowerSupply.
It has a witching DC-DC converter on board that generates the higher voltages from +5V (off the USB port).

B.T.W.

OLIMEX is working on a standalone programming Software for the PIC-MCP-USB.

(With this software you don't need MPLAB anymore to just program a HEX-file onto the PIC)

According to Tsvetan (OLIMEX) the Software should be available by the end of this month.