Hi
I agree, I have built several of my own Olimex design (JDM) see http://www.olimex.com/dev/pic-pg1.html
and it has been working perfectly for ages. There are some limitations to understand which may lead you to think it is mal-functioning:

1) The programming signals and power is derived from a limited +-12V supply serial port on the PC and can not supply a target board with big demands and shunt loads. ie having a fan or something daft on the 5V rail on the target board will pull down the volatages.

2) The ground is floating and so the pic target board can not be ground referenced to the PC - ie connecting a scope for example to the pic while programming will cause it to fail. - The same thing if the Pic target board has a PSU that earths the 0V rail

3) Keep the ICP lines from the programmer to the PIC reasonably short (<30cm)

4) Use a decent prog s/w eg IcProg.exe and follow the instructions to set up if you use XP.