The target (the PIC you want to debug) and the ICD have to be powered with same voltage (+5V)
	The target power can't be switch on/off by the ICD
	If MCLR pin is weak-pulled up to Vdd at the target, this resistor has to be removed when the ICD is connected since our ICD isn't able to pull this pin to ground.
	No blinking status LEDs :-(
	No USB support :-(

I think a PCB is not needed for this circuit. Soldering the components to a *drilled hole board* should be good enough.
Additionally, an external power supply providing the programming voltage Vpp (about +13V) is needed.