Within the course you will see hyperlinks to exercises, they will open in a new tab so that you can copy and paste them into the MPLAB X IDE program. For example, see the following link:
When you click on a link like this then another tab opens, containing formatted C code which can be copied over to be used in the MPLAB X IDE environment, you will be able to compile your programs and send them to the PICmicro chip using the MPLAB XC8 compiler and the mLoader program to send the compiled code to the chip.
You can also start new projects in the MPLAB X IDE by selecting New Project... from the File menu (File > New Project...) or by using the following keyboard shortcut Ctrl+Shift+N. You can return to your project by selecting Open Project... from the File menu (File > Open Project...) or by using the following keyboard shortcut Ctrl+Shift+O.