You are best off soldering in a socket to your board and then plugging the pic into the socket.
If you have an older computer ~5 years with a serial port, you may be able to make and use a jdm style programmer for around $2. Mine works perfectly and you can program the pic while it is plugged into your circuit. You might want to use a multimeter to see if any of the pins on your serial port register a voltage of ~12 - 13 volts. If so then a jdm style will work.
The yellow thing on the original post is quite fuzzy so its hard to see exactly what it is, a hazarded guess by your description would be either an inductor coil or an aerial if its fitted with a radio module (to communicate wirelessly with the alarm system)
