With my enhanced PICkit 2 design, the BB0703 (PICkit 2) has a dedicated power regulator and power connector to generate a +5V supply.
If you turn off the "programmer-to-go" feature on your PICkit 2 and your target chip/board consume small current (e.g. <20 mA), you should be able to use it to power the target chip/board directly.
When I developed the PIC12F508, I did use the regulated +5V from BB0703 (PICkit 2), and the PIC12F508 chip drives 5 running-LED directly, it seems working fine.
If your target board consume large current, I strongly recommend use an external power supply.