Electronic – Is it necessary to use pickit for pic MCU

It's a 14-pin, 2.54mm (0.1") pitch (single row) receptacle. Here it is in the manual (page 35):

Molex, Tyco and others make these.
Here is a picture of the board with it present:

Here is an example from Farnell (pic below), and the page it came from with other options.

You have to set the configuration bits. Near the end of the device's header file (line 5880 for dsPIC30F4013) is a listing of all the device's configuration bits that need to be set or cleared to ensure proper operation of the device, as well as code comments for how to do it.

For example:

_FOSC( XT & CSW_FSCM_OFF )  // Configure for external XT crystal oscillator, turn off clock switching and monitoring

The oscillator and watchdog timer configurations are very important.

EDIT: In your edited post you tried using the phase-locked loop option for the oscillator. You have to add the following code in your main routine in order to use an external oscillator + PLL:

/*
 *  Set up the PLL for full 60 MIPS operation (dsPIC33EP512MU810)
 *
 *  Fcy = Fin*K/2 --> 60MHz = 8MHz*K/2 --> K = 15
 *  K = M/(N2*N1) --> 15 = M/(N2*N1)   --> N2 = 2, N1 = 2, M = 60
 *  Fcy = 8MHz*15/2 = 60MHz
 *
 *  p. 164-171 datasheet
 */
void configPLL()
{
    PLLFBDbits.PLLDIV = 58; // M = 60
    CLKDIVbits.PLLPOST = 0; // N1 = 2
    CLKDIVbits.PLLPRE = 0;  // N2 = 2
    OSCTUN = 0;
    // Writing to the OSCCON register requires a special unlock sequence
    // Using a compiler built-in write instruction to handle this
    __builtin_write_OSCCONH(0x03);  // Select primary oscillator with PLL   
    __builtin_write_OSCCONL(0x01);  // Request oscillator switch
    while (OSCCONbits.COSC != 0x3); // Wait for the PLL to lock
}