The firmware for the original ICD2 is shipped within Microchip's development environment MPLAB. Download and install it. In MPLAB's subdirectory named Icd2 you will find a file named Bl??????.hex. (Actually this is nothing more than a bootloader. MPLAB later downloads the required operation system for the current target device by itself at runtime.)
You can load this file into your PIC before building the ICD if you own a normal programmer. If not or it's an ICSP one, build up the complete ICD including the unprogrammed PIC. Then, connect the three ICSP signals, power up the ICD and flash the PIC.

Connect the first target device to the ICD. For programming purpose, this is a single PIC supplied with +5V power (e.g. from the ICD). If you want to try debugging, ensure that the PIC has an clock source, too. Connect your ICD to the computer's serial port and power it up. Disable this ports' FIFO buffers (windows' device manager) and perform a reboot. After this, start MPLAB and load or create a test project for your target device. Select ICD2 either as programmer or debugger and change its communication settings according to your system by selecting the menu item MPLAB ICD 2 Setup Wizard. Always select Target has own power supply, because our ICD isn't able of switching target power on or off.

Now choose menu item Connect. Since there is nothing more than the bootloader in the ICD yet, you have to download ICD 2 Operating System. You should get a display looking like this:

If self test fails, ensure all voltages on the ICD are in of range. Take a look at the Settings/Status&Power dialog that will display all voltages.