Ok, so, as I guess, the code now should look like this:
Code:
Define OSC 4 ' 4MHz  'set internal osc to 4mhz
CMCON=0  'turn comparator off
VRCON=0 ' turn voltage reference off
TRISB = %00000000  'set direction of port B pins
LED    VAR  PORTB.0   ' Assign name "LED" to PORTB.0

mainloop:
   High LED        ' Turn on LED connected to PORTB.0
   Pause 500       ' Delay for .5 seconds

   Low LED         ' Turn off LED connected to PORTB.0
   Pause 500       ' Delay for .5 seconds

   Goto mainloop   ' Go back to loop and blink LED forever
   
   End