First, I would say, "read the datasheet' for the specific PIC you have in mind.
Most of the 18F PIC's I use cannot make use of the MCLR pin as I/O, so there is nothing to set.
Some though (like the 18F45K22) share it with an input-only pin (RE3). In that case, the datasheet says that the pin does not have a TRIS or LAT register bit associated with the pin, since if it is selected as in input pin (by setting MCLRE=0) then input is all it can do. So, you just read it. No TRIS to set.