You will have to give more information. There are several possibilities. One common one is to forget to set the power settings.
Go to programmer "settings" and set the power. You will get a question like,"Power target circuit by PK2..." Presumably you are doing that, but you haven't told us. If true, then check the appropriate button and be sure the correct voltage is chosen.
Another common problem is to forget to configure properly. Click on configure and be sure the correct chip is selected and that PK2 is OK to program it. Be sure the others settings are as you want them.
If those don't solve the problem, then tell us how you have the chip set up. Are you trying to program or debug?
You have to carefully follow ALL of the instructions. It will take about 4 hours of concentration and rereading pages and double-checking you have done everything right. There is a pickit2 tutorial with the low-pin count board sold by microchip (used to use the Pic16F690 chip in the board.
I highly recommend that as a start - about $30 if I remember correctly. Used to be sold with a pickit2 as a bundle.