He actually posted in the programming forum regarding programming the device and in the electrical forum regarding wiring the device. While his concerns probably could have been addressed in a single post, I don't think it's that bad to try and separate it out.
This document should help explain the operation of the compass:
http://www.parallax.com/Portals/0/Do...55BModDocs.pdf
The device uses a synchronous serial interface which means there are either 3 pins that will need to be connected to Digital IO pins on the PIC.
With regards to the programming, the ease of programming this device will likely depend on your familiarity with C programming in general and specifically programming for the PIC you are using. The software does not look overly complex and it should be possible to write what you need. You will learn a lot more from this then from just taking code from somewhere.
EDIT: Looks like from your other post that you are using a language called PICBasic. I don't know anything about that language, but it will likely be much closer to the BASICStamp code in the linked document than anything else. If your software is the PICBasic Compiler PRO you will be able to actually compile the BasicStamp files directly to your PIC.