It means that the PicKit3 cannot communicate with the device. Make sure that the PGC and PCD (or ICSPCLK and ICSPDAT) lines connect to any of the PGECn and PGEDn pin combinations. Also check that you don't have capacitors or other things connected to those lines that will distort the signals.
Same goes for the \MCLR\ line (or use the circuit suggested in the data sheet).
Programming does not require an oscillator (but obviously any running of the code does).
Whether you power the MCU or you use the PicKit3, make sure that you tell the PicKit3 accordingly in the IDE options. If you have the PicKit3 power the MCU, make sure that it is not trying to power the whole circuit -although that normally results in an error about drawing too much current.
Susan