I just finally wanted to add to this thread the PIC defines that I was using for my tests...

@ DEVICE pic16F676, INTRC_OSC_NOCLKOUT
' System Clock Options
@ DEVICE pic16F676, WDT_ON
' Watchdog Timer
@ DEVICE pic16F676, PWRT_ON
' Power-On Timer
@ DEVICE pic16F676, MCLR_OFF
' Master Clear Options (Internal)
@ DEVICE pic16F676, BOD_ON
' Brown-Out Detect
@ DEVICE pic16F676, CPD_OFF
' Data Memory Code Protect
@ DEVICE pic16F676, PROTECT_OFF
' Program Code Protection

Naturally if you've programmed for external oscillator or xtal, and external MCLR then the PIC hasn't the support circuitry attached to start and run... you'll probably only experience this phenomenon when the PIC is programmed for internal oscillator and MCLR.