It seem robosang is right, the connection from UIC00B IDE socket is swap.
I have tried with dsPIC30F4012 as I do not have the dsPIC33F. The connection from the end of IDE should be something shown here:
This is the pin diagram of UIC00B IDE socket.
Here is the connection I make from the socket to dsPIC30F4012. Of course you should align the pin to the dsPIC33F model you are using, the photo is for you to refer only.
For you case:
dsPIC33FJ128MC802 pin UIC00B IDE Socket
Pin 1, MCLR/VPP -----------------------Pin 3, VPP
Pin 8 or 19, Vss ------------------------ Pin 4 or 6, GND
Pin 13, VDD ---------------------------- Pin 8, VDD
Pin 4, PGED1 --------------------------- Pin 7, PGD
Pin 5, PGEC1 -------------------------- Pin 5, PGC