The PicKit does have a voltage regulator built in. The software for it even has a place to set the voltage when using the PicKit2 for a power source.

If you are not using the PicKit2 for a power source the PicKit2 can read the chips voltage and display it.

AA batteries should run all day, but if you power from the motor batteries like Adam suggested then the PIC runs when the car runs. So does it matter? Maybe the motors will make some noise on the circuit? AA batteries would help in that case.