Powering a Microchip development board externally
It appears you are using the "Low Pin Count USB Development Kit", part # DV164126.

As long as pins 1 and 2 of J14 are jumpered together, then pin 1 of J9 is connected to pin 1 of the micro (Vdd) and pin 2 of J9 is connected to pin 20 of the micro (Vss).  So powering the board of J9 should work fine.

You also want to leave off the jumper on J12 since you don't want the +5 from Vbus (pin 1 of the USB socket) also trying to power the board.

As far as blowing up your PICkit2, I believe when you connect to the PICkit from the MPLAB IDE it asks whether the board is 3.3v or 5v. Make sure you are selecting 5v.  Otherwise I don't see why the PICkit would have an issue working with the development board, assuming you are plugging it into the ICSP1 header correctly.