ピッキング is the loan 'picking' in the sense of lockpicking. 道具 ('tool') is a standard noun. ~無しで ('without') uses 無し as a suffix noun. 侵入 ('intrusion, entry') is a Sino-Japanese compound. The reply is pleasantly anticlimactic — no tools needed because the window was simply open (あいた, past of 開く, 'to open/become open'). Spy/heist dialogue with a punchline.