JTAG and additional external power supply
The ULINK2 page you linked in the question says this about the Vcc pin:


  VCC Positive Supply Voltage — Power supply for JTAG interface drivers.


This means that the VCC pin on the ULINK does not supply power to your board, rather, it uses power supplied by your board to power the driver circuits on the ULINK pod.  This allows the ULINK pod to be compatible with circuits running at different power supply / logic levels.

In your case, tie the ULINK VCC pin to the 3.3V supply on your board.