Some points to check:
Which connector are you using to connect the ICE to the board and program the device? The 5 pin ISSP header or the OCD connector using the RJ45 cable? For connecting to the debugger, you need to use the OCD connector
Did you program the chip by opening the PSoC programmer software separately? If yes, close the PSoC Programmer as that software will have locked the USB port to access the ICE.
Open the Project >> Settings dialog and select the "Debugger" option. The default parameter for the "Pod Power Source" is "ICE may power pod". When this option is selected, the ICE cube will supply power to the board. But as this is a lighting kit, the board may draw higher power than what the ICE cube can supply. Change this parameter to "External only" and power the board using the external power supply and then try to connect.
If the Pod power source is already selected to "External only" then make sure that the board is powered before trying to connect.
Let me know if one of the above solves your problem.
The PSoC Hacker
I've checked the cable (I use the RJ45 blue cable to debug), only the designer is opened (not the programmer) when I trie to debug, the external only power option is checked but still when I trie to debug I get the message that I've written in the second post.
Thank you very much and have a nice day.
I observed a strange behavior when I tried to debug a project on my laptop. The very first time, I click the connect button, I always get the error. But when I retry, the connection is successful the second time and after that I am able to debug fine. Can you retry connect and see if the connection happens.
Just to confirm, are you powering the board with the wall adaptor?