I need help to download my hex file to PIC16F684 using PICkit 2 but I don't know how to connect it (by wires).

All I know that PICkit 2 has 6 pins:
Pin 1 --- Vpp /MCLR
Pin 2 --- Vdd
Pin 3 --- gnd
Pin 4 --- ICSPDAT/PGD
Pin 5 --- ICSPCLK/PGC
Pin 6 --- auxiliary

 

Looking at the pinout in the datasheet:
1 RA3/MCLR
2 VDD
3 VSS
4 RA0/ICSPDAT
5 RA1/ICSPCLK
6 No connection

You don't need anything else connected to the PIC (there can be but you have to be careful about what is allowed).

 

PICkit 2 PIC16F684
1 4
2 1
3 14
4 13
5 12
6 no connection

Is this correct?

 

Yes, that's it.