Let me expain what is a complex subject in simple terms.

Pretend that the Input pin of a PIC is a 10K Resistor connected between the pin and 0v (it isn't, but just for argument think of it this way). If you now feed that pin with a high-impedance source (eg +5v via a 1M Resistor), whilst you may measure +5v with a DMM on the end of the Resitor BEFORE you connect it, the instant you connect that Resistor to your PIC pin (10k), the voltage will collapse and you will only measure a few mV. Simple Ohms Law determies what has happened. Now this explaination isn't actually correct when dealing with impedance as we have to take the frequency of the signal into account, but will serve aquequately without going into a lecture on AC theory.

Please post your electrical schematic, so that we can understand your circuit. It could be something very basic that you are doing wrong, or you could be doing everything correctly and may have a defective component. It is difficult to give advice when blind.