Yes but the ICSP connector on the PICDEM 2 is an RJ25* connector used by the ICD2.
I made a simple adapter that has RJ25, 2x5 (junebug), and 1x6 (PICkit2) connectors.
If microchip has an adapter I could not find it. They do have
Part Number: AC164111 - PM3 ICSP RJ11 Adapter
But it will not work with a PICkit2.
3v0
* The RJ11 is used for phones and has 6 positions but only contacts in 4 of them. The RJ25 connecter you need looks identical but has contacts for all 6 positions.
If you have the tool for crimping RJ style connectors you can use Radio Shack 279 421.