Steve is correct You need to either turn off MCLR or tie it high. As a side note, you have some hardware issues that will make you think the program doesn't work. It has to do with tying all the LED's together then through 1 resistor to ground. Also I think you have to edit the properties for the GND symble and assign it the name "GND" to make it be ground.

I am Very new to ISIS, but that has caused me trouble in the past.

Sorry bout taking so long to reply, had trouble getting on the forum yesterday.