Hi,
Have you verified that MCLR is at Vcc?
LED connected with correct polarity and verified to be working?
Verified that the programmer and its application is working correctly, can you program other chips?

Yes, I've compiled your code with the PBP default CONFIG, which I quote here for reference:
Code:
#CONFIG
  __config _INTRC_OSC_NOCLKOUT & _WDT_ON & _MCLRE_ON & _CP_OFF
#ENDCONFIG
This is the code I compiled, using PBP 3.0.7.4
Code:
Define OSCCAL_1K 1
DEFINE OSC 4

 CMCON = 7
 OPTION_REG.7= 0 
 GPIO = %00000000 
 TRISIO = %00000001

Start:

 HIGH GPIO.0
 PAUSE 1000
 LOW GPIO.0
 PAUSE 1000

 GOTO Start
 END
And here's the resulting hex
Code:
:020000040000FA
:100000002828A301A200FF30A207031CA307031C9A
:1000100023280330A100DF300F200328A101E83E90
:10002000A000A109FC30031C1828A00703181528FC
:10003000A0076400A10F152820181E28A01C222844
:1000400000002228080083130313831264000800B1
:10005000FF238316900083120730990083168113C3
:1000600083128501831601308500831205148316DF
:100070000510FA3083120120051083160510FA309E
:0A0080008312012036286300432894
:02400E00FC3F75
:00000001FF
Again, it works fine here. 10k pullup on MCLR, 1k5 in series with LED on GPIO.0