The PIC instruction set and architecture is entirely different than that of the development host, the CCS compiler cannot target x86 so cannot produce an executable that can run on the PC - it is a cross compiler. Parts of your application that are not hardware dependent may however be portable and might be tested on a PC by compiling in a host compiler, however you need to be aware that because it is a 32 bit architecture, data type sizes and numeric ranges will differ. If you carefully abstract your hardware this can be quite an effective technique since you can stub the hardware abstraction layer with a test harness or simulation code.
On a PIC microcontroller, code runs from on-chip ROM - the PIC architecture cannot execute code from RAM, so you have no choice but to burn the code to on-chip ROM in order to execute it on hardware. Most parts use flash memory which is erasable and re-writeable, so testing your code should not be a problem. There are one-time programmable parts, but you would not usually use these for development for obvious reasons!
Ideally for test and debug you should have an in-circuit debugger to allow you to program, run, step and breakpoint your code from a development host connected to the hardware.
An alternative (though often not entirely satisfactory) approach is to test and execute your code in a simulator. CCS does not appear to have an integrated simulator, so you would have to use Microchip's MPLAB SIM instead.