Unlike the BX24, the PIC chip doesn't not have built-in serial programming per se, but there are two options which allow one to do ICSP with the PIC. Using a bootloader program, you can send programs directly to the PIC via its serial port. Or you can hook up a serial port with a special circuit to the programming inlets on the PIC.
There are many options when it comes to bootloader programs for the PIC. CCS includes one with their CCS PIC C Compiler, one is included with the Microchip C package, and there is a free one called Bloated Bootloader that is GPL.
The other option for In-Circuit Serial Programming is to use an adapter for one of the many programmers out there. The EPIC is one which Tom Igoe mentions. You can also get an ICSP adapter for the Microchip PICSTART Plus.