dsPIC33 MCLR resistor
MCLR is simply the !RESET line on the PIC processors - that is, any time MCLR becomes low, the processor will reset (it is possible to disable this functionality in the processor configuration). Even though it's tempting to avoid the (unlabeled pullup) resistor altogether and just tie MCLR to VDD, it will cause problems if you try to connect to the ICD/PICKit programmer/debugger, since the ICD will no longer be able to pull MCLR low to enter debug mode and program. Having MCLR floating without disabling the reset functionality is of course a bad idea, as your processor will randomly reset depending on RF noise, your hand touching it, etc.

The capacitor is actually there with the series resistor (R1) to form a R-C circuit. This is to delay the start-up of the PIC so that the power supply has some time to become stable before code execution starts. Typically this is not needed if the power is already from a stable supply (such as a battery), but might be required if the power source is something that has significant ramp-up.