As soon as the PICmicro is powered up, and has a clock, it will start to run whatever program is stored in program memory (Flash).
If you press the reset button on your PICmicro programming board, then the program will restart from the beginning.
During programming the PICmicro stops whilst the program is being loaded, but once it is in the PICmicro, it will then restart and run the downloaded program.
