Lucky for English speakers, a lot of French words made their way into the English language, and lately, a few English words have made their way into the French lexicon. A pique-nique is pronounced almost like the word “picnic”, except it sounds more like “peek-neek”.  In a proper translation, you don’t “have” (avoir) a picnic, you make one:

On va faire un pique-nique dans le parc.  

(We had a picnic in the park.)