Does this do what you basically need?

IF OBJECT_ID(N'tempdb..#picu') IS NOT NULL

DROP TABLE #picu;

CREATE TABLE #picu

(EpisodeId INT,

CriticalCareLocalIdentifier VARCHAR(10),

CriticalCareStartDate VARCHAR(10),

ActivityDate VARCHAR(10),

CriticalCareActivityCode1 VARCHAR(2),

CriticalCareActivityCode2 VARCHAR(2),

CriticalCareActivityCode3 VARCHAR(2),

CriticalCareActivityCode4 VARCHAR(2),

CriticalCareActivityCode5 VARCHAR(2),

CriticalCareActivityCode6 VARCHAR(2))

INSERT INTO #picu

VALUES (6497895, '185719', '2012-05-27', '2012-05-28', '11', '22', '33', '44', '55', '66')

INSERT INTO #picu

VALUES (6582674, '215364', '2012-10-30', '2012-11-01', '77', '88', '99', '11', NULL, NULL)

INSERT INTO #picu

VALUES (6582674, '215364', '2012-10-30', '2012-11-02', '99', '11', NULL, NULL, NULL, NULL)

SELECT #picu.EpisodeId,

#picu.CriticalCareLocalIdentifier,

#picu.CriticalCareStartDate,

#picu.ActivityDate,

#picu.CriticalCareActivityCode1 AS CriticalCareActivityCode,

'',

#picu.CriticalCareActivityCode2 AS CriticalCareActivityCode,

'',

#picu.CriticalCareActivityCode3 AS CriticalCareActivityCode,

'',

#picu.CriticalCareActivityCode4 AS CriticalCareActivityCode,

'',

#picu.CriticalCareActivityCode5 AS CriticalCareActivityCode,

'',

#picu.CriticalCareActivityCode6 AS CriticalCareActivityCode

FROM #picu

FOR XML PATH('PCC_CareActivityGroup'),

TYPE;