Are you building a copy of the genuine Pickit2 or is it one of the simpler designs found in internet articles?
If the yellow light is flashing on the Pickit 2 it means there is a firmware failure in the 18F2550 and you should try reprogramming it (you can do this from inside the PC application). If the light isn't flashing and the power light is on there is probably a failure at the PC end. It should work by just installing the Pickit software because it can work as a stand-alone programmer without needing support from other Microchip programs.
If everything is OK, when you start the Pickit application, it should identify the unit on the screen and if you have more than one connected, give you the option of whch you want to use.
Brian.