This is typically because you have not connected the PicKit3 to the MCU correctly. Basically it means that the PicKit3 is sending out the clock and command signals but is not reading anythign back.
Common causes are adding extraneous components on the \MCLR\ line, swapping the PGC and PGD lines, not powering the MCU when you tell the PicKit3 that the device is self powered etc..
Check out the data sheet for the MCU and make sure that all connections are correct, and also check out the user guide for the PicKit3 as it shows how to connect properly.
Also what is the MCU you are using?
Susan