Yes you're right .. mafacturers have embedded a IN CIRCUIT PROGRAMMING interface .. that allows with a simple cable to progarm those chips .. the AVR accept ISP and JTAG programmers .latest microchip also have a similar interface .. See the manufacturers app notes and also consult the chip data sheet to see what is recomended
Most manufacturers will give the schematic of the cable .so you can make it. As a matter i have a colection of cables for all kinds of cpus ..
most cables work with the PARALLEL PORT/LPT1