I don't know what connector the PW200M uses, but the PicoPSU requires a 5.5mm OD 2.5mm ID (size N) coaxial DC power jack. Local RadioShack stores should have this item, part # is 274-1573. Now just solder it together, +12V goes to the inside terminal, GND to the outside. The plug and soldering points are very tiny, so I was only able to solder one of each wire and not both of the +12V and GND wires. This probably isn't ideal, but it should be fine.
The PW200M uses the same connector as the Pico, and for lower wattages connecting a DC plug to one set of wires should be fine. However for higher wattages I am guessing spreading the current over multiple wires will be safer (or using one very thick wire). Also take care that the DC plug is of high enough quality or rated for high current. I originally spliced on a DC plug from a dead LCD brick to one set of wires on a 150W Lite-On brick; this worked fine with both the PW200M and Pico during my initial testing.
Later I replaced it with a plug similar to the one from Radio Shack and even managed to attach both sets of wires (although that meant the plug casing would no longer fit and had to use electricians tape).
However after a week or so of use, I discovered that part of the plastic seperating the inner and outer connections of the plug had melted!! I was fortunate that enough plastic remained that it wasn't shorted. I suspect it happened when I was using it to power an Opteron 144 with a 7800GT (total system draw was around 150W AC under load). If you plan on a high wattage system then it might be best to replace both the plug and connector on the PW200M/Pico with something rated for these higher currents.
During my testing though, the PW200M had no problem running this system over several days of testing except for 12v rail sagging under full load (from 12.2v down to 11.4v). This didn't cause any stability issues and is within 5%, but the Lite-On brick was probably being pushed near it's limits (150W AC assuming 85% efficiency = 130W DC); probably a higher wattage brick would fare better. My experiences detailed here
As for the wiring, I'd be sure to double-check the connections for each individual brick as there seems to be no industry standard. My Lite-On brick had five wires, similar colors but wired differently.
red and white wires : +12v
black, brown, shielding wires : ground
The brick is now paired with the Pico and has been powering my Nforce2 HTPC for about two months now. It draws around 55W AC most of the time, the only annoyance is occassionally it won't power up from standby (the PW200M didn't seem to have this problem). Also I noticed the Lite-On brick stays a little hot all the time. Frostedflakes, have you setup your Pico, does the Dell/Delta brick also run hot?