Thank you, mr Skimask ... I do agree on all your opinions, except on what I have to do !
All I have is a proto-board with a PIC on it.
There is no way I plug a 5/6pin header in it - I don't have the knowledge,
even I did read the ICSP part of the manual.

I have done something different : I wrote to Microchip.

First they recommended to buy the "PICSTART plus", code "DV003001".
Unfortunately, its price tag is at 136,24 €

I wrote back again, asking for something cheaper. Now they say : ... you need

PG164120 = 23,84 € = pickit2 programmer
AC162049 = 27,24 € = universal programming module (socket)
AC164110 = 6,81 € = RJ-11 to ICSP adapter (cable)

Now, 58 € looks better to me.

WHAT IS YOUR OPINION ?