ccs works with icd1 from microchip.. and better with their own ccs icd.
it does not work with icd2.
I didnt try it with the last ccs version 4. so may be ?
but ccs has a plug in to put into mplab and so you are in mplab but use ccs compiler and there you can use the microchip icd2 directly !
You can download the hex file trough MPLAB IDE file/import then select mplab icd2 as a programmer...also select the right device and configuration bits...