Run a program on a PICKit 2 chip
"PK2Error0028: Unable to enter debug mode"


Is it a genuine PICkit2?  Many cheap clones cannot debug.

When you program the chip you place the code onto the chip.  When you aren't programming the chip, if MCLR isn't held low, the program is running.  You don't "run" the program, it just runs unless told specifically not to.