The ROM routine used to load the OS is often known as the 'bootstrap', from the expression “pull yourself up by your own bootstraps”.
The Article MIOS Bootstrap For Newbies (also available as MIOS Bootstrap in different languages) contains important informations about how to upload MIOS - the operating system - and an application.
If you buy the Pic microcontroller at SmashTV's or Mike's Shop you do not need to burn the bootstrap loader onto the chip. You can simply upload MIOS and the selected application by MIDI (SysEx).