I think I see some of the problem, sorry I missed it earlier.

ANSELH = 0
should be
ANSEL = 0

And I just tried this on my simulator (bread board) to see if anything else was missing.

Change the PIC ports to match your setup.
Code:
'74HC165 CONNECTIONS
    'VSS = PIN #8 AND PIN# 15
    'VDD = PIN #16
    'No Connect = PIN #9 AND PIN# 10
    Clock   VAR PORTF.6   'PIN #2 74HC165
    Load    VAR PORTF.7   'PIN #1 74HC165
    Data_1  VAR PORTF.5   'PIN #7 74HC165
    KEYS    VAR BYTE
    HIGH    Load

    READ_KEYS:
    PULSOUT Load,1
    SHIFTIN Data_1,Clock,0,[KEYS]
    PAUSE 100
    LCDOUT $FE,1,"KEYS= ",BIN8 KEYS
    GOTO READ_KEYS