The long, skinny end is inserted directly into the PicKIT2. The other end is spring loaded with about 0.1in. of travel.

If you lay out your board with 1x5 pads (0.1in. spacing, about 0.03in holes) and connect them to VPP/MCLR, PWR, GND, PGD and PGC, the spring loaded end will make good contact. This method will allow you to use any type and size package PIC, whether DIP, SOIC, TSSOP, TQFP, QFN, etc. without needing a different adapter for each one.