Hi,
I've only looked briefly at your code but I think your tuning value is wrong.
For 500kHz you want 500k*2^32/125M = $01 06 24 DD. You're sending $80 60 24 B8 which would equal a frequency way above 60Mhz....

Try
Code:
SHIFTOUT PortA.1, PortA.3, 0, [$DD, $24, $06, $01, $00]
Also, which PIC are you using? PortA usually contains analog functions which needs to be disabled for the pins to work in digital mode. I don't see that in your code.

Finaly, when you force serial mode thru the hardware there's no need to do anything else at the startup - atleast I didn't have to. Perhaps your startup code is locking up the AD9850.

/Henrik.