Technically, you're supposed to put a current-limitting resistor along with an average LED with 5 VDC; most use 330ohms. Does the LED still work on 5 VDC and a resistor? Confirming it isn't burnt is a good start.
Basics on Configs here:
http://www.picbasic.co.uk/forum/showthread.php?t=543
Some overview on what files are used (I have v2.60, so it's about the same as 2.50 - the syntax for 16F is just a bit different):
http://www.picbasic.co.uk/forum/showthread.php?t=15982
Robert
EDIT: Look at top right, try CONFIG 16F628A in Advanced Search.
Here is one thread that came up:
http://www.picbasic.co.uk/forum/showthread.php?t=9794
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