Setting them in the programmer works. but if you ever want to just program a chip from a saved hex file, your going to get bit in the behind if you don't remember what settings you used in the programmer. its really a two step operation. PBP is the basic compiler, it creates an assembler file. then either pm or msasm compiler assembles that into your hex file that gets programmed into the chip. the fuse names/settings are written into your basic program but are dependant upon which assembler you use. The assembler is what uses these config commands. PBP passes these to the assembler with the @. so your line would be either
Code:
 @_config MCLR OFF
or
Code:
 @_config MCLRE OFF
depending on if pm or msasm is used.