"To go" is the option to load the code into EEPROM on the Pickit3 so it can be used in the field without a computer. Try turning it off and programming directly.
Note that many Pickit clones do not have the EEPROM on them so they can't use 'To go' mode. Genuine Microchip ones should be OK.
If you are using MPLAB IPE, open the advanced settings tab then select 'Settings'. You should see a "Programmer to Go" window. As I said before, most clones of PicKit3 do not have the extra memory installed inside the PicKit enclosure so they may behave differently.