Hi,
In the ICD-2 there are buffers that are powered from the target board voltage. This is due to the fact that you can program the PIC in any voltage ( depands on your protection flags ) from 2V - 5.5V.
So, The ICD-2 needs to be powered first, only then you can connect the target board. Any thing else, and the ICD-2 will not work corectly.
Good luck.
p.s. If your students do not require the debuger function, then download from microchip the schamtics for the PICKIT-2. This is very low cost programer.