Hmm, I've never had problems like that with my PICkit3. At one time I thought I had bricked it since it wouldn't change firmware between MPLAB and standalone programmer mode but after a while it gave in started working again, other than that it's been working just fine for years, with MPLAB, with the stand alone application and with command line interface (which is what I use 90% of the time).
Seeing you got it from Sure Electronics and seeing they are selling both what appears to be genuine PK3s from Microchip (the red/clear ones) AND clones (the black ones), which one did you get?
Make sure you pay attention to the target Circuit design precautions shown in the "PICKit3 poster".
/Henrik.
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