PICS Pics are programmable integrated circuits. They are based on a RISC or reduced instruction set chip archetecture and usually don't use 12 or more bits for a program byte. To burn an eprom or an eprom built into an mcu requires some sort of device programmer. Some MCU chips have eeprom on board and may only require a serial hookup to program their memory. Other MCU's may not have any program memory at all and must rely on a seperate program eprom chip residing in it's address space.
Device programmers come in all types.
The most affordable device programmers are usually available for the PC parallel port or an internal PC card. These less expensive device programmers generally only program one type of chip like only pics or only eproms. Sometimes these program programmers may have an adapter socket to program the eprom memories inside mcus. The higher priced models usually are not limited to one type of device and can program a vast array of devices including MCUs, pics, eproms, and eplds.