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It might help us help you if you say what size Zif socket and what chips you are trying to connect to.
The five outputs from the Pickit2, as shown on page 9 of the User manual, should be matched to the pinouts of the chips you are using - so refer to their datasheets, as different chips use different layouts
A trick to save the expense of a Zif socket but also protecting the pins of your Pic chip is to fit the Pic into a turned pin dil socket - not soldered to a board or anything, just fitted to the pic chip.
That has strong legs that can be easily plugged into other sockets, in circuit, or in a programmer fitted with a standard dil socket or a zif.