The CF is no longer manufactured, but can indeed be used with PE5 and/or the Serial PIC Programmer software bundled with PE5 to program a selection of raw PICs.
Neither are supported by PE6, as this does not have direct PIC programming support (in PE6 you will (when assembler is supported) just use the exported file with whichever third party PIC compiler/programmer you like such as a PICKit2 or PICKit3).