go to microchip website to download MPLAB. Download also the C compiler: MCC18, CCS, hi tech c, mikroC and etc. Choose the best C compiler that works for you. It will be integrated with MPLAB to generate the hex you need. You need a PIC programmer also: Pickit 2 might be good and cheap. If you want to get a better one then go for ICD 3.
the better way is to get a simulation software for ur microcontroller, it will do 2 things for you
ull b able to watch the response of ur program and it will also compile the code and generate a hex code for u. some simulators even give a fascility to burn the code in microcontroller too
for tht ull need a uC burner or get a complete developemnt kitt