If the ICSP is used for programming the PICmicro or dsPIC In Circuit, it is recommended that a diode and resistor is inserted in series from VCC to the MCLR line when programming a PICmicro (U1) or dsPIC In Circuit. This is to block 13.5 volts reaching the VCC while programming.
You will have to ensure that the target board is not powered as the PICmicro or dsPIC will be powered from the programmer.
In case the target board is powered, do not connect pin 2 of J1 to any other part of the target board.
Example: Connections for programming a PIC16F628 (Target) using the ICSP method.