what programmer to use with 18F452 ?

[skimask]

but the Part Number: PG164120 - PICkit 2 Microcontroller Programmer (23,84 €)
HAS NO SOCKET AT ALL, neither for the 18F452 !

That's because you're supposed to set yourself up with a small 5/6 pin header so you can reprogram the PIC while it's still installed in the circuit....otherwise known as In Circuit Serial Programming (ICSP).

The "Part Number: DV164120 - PICkit 2 Starter Kit" (34,06 €) has a "Low Pin Count Demo Board containing a PIC16F690 PDIP", and it explicitly says "The PICkit 2 Low Pin Count Demo Board supports 8-, 14-, and 20-pin PICmicros", and the 18F452 has 40 pins !
What am I doing wrong ?

I don't think you're doing anything wrong...just getting a couple of things confused...
The demo board supports small PICs, yes, if you use the 18F452, which has the 40 pins, you have to program it in circuit as described above.

Open up a PIC datasheet and read up on 'In Circuit Serial Programming'. That should clear it up for you.