Your programmer shows this under it's picture: " based on the"JDM Programmer."
If you run MPLAB and then click on the programmer menu tab, it gives you a selection of programmer types that it can work with. A JDM serial type programmer is NOT in that list so it won't work with MPLAB.
The most popular low cost PIC programmer these days that works with MPLAB seems to be the PICKIT2. There are many clone versions and many avalible as kits, so price is quite reasonable.