(This does not work)
I have a bunch of the cheap ST-Link V2 dongles and figured I would just use one of those with the Pico, but after a bit of reading I have learned that it won't work. The root issue is that the Pico has two cores and the plain ST-Link doesn't support the necessary protocol to deal with that. The protocol feature necessary is called "multi-drop". Without it, the ST-Link doesn't see a CPU at all when connected to the Pico.
But you have several other choices. You can use one of your many Picos as a Pico probe by flashing the picoprobe firmware on it. You can buy a $12 Pico probe. You can buy the fancy new Black magic proble. You can flash black magic firmware on a ST-Link V2.
Tom's electronics pages / tom@mmto.org