Hi Des,

There are three PIC types(low, midrange, and high-end), and only the
high-end 17 series can use external memory.

I've never used the 17 series though. Not generally considered
cost-effective.

On all other PICs, all the program memory is within. That's why you buy
eraseable parts for development. That'd be EPROM windowed types, or
flash(16F84 and a couple more becoming available).

You'll need a programmer. There are many available, I've made comments
about some at:
http://www.bobblick.com/bob/projects/picprog/

Cheers,
Bob