While the original PICkit 2 programmer as sold by Microchip is a very handy tool every PIC enthousiast should have in his toolbox the thing came without a cable to be used on the ICD2 (RJ12 type) connector. You can  of course buy such a thing but i made one myself in 10 minutes by using a ''standard'' telephone cable with RJ12 connectors on both sides a molex strip a some schrinktube.

The cable itself is deadsimple, straightforward from RJ12 to molexstrip.