Now when they press another button, the code does a jump (gosub) to a routine. When this happens, it turns the LED off.
Seeing the offending code would certainly help, which is what Alian is trying to say.

The program is probably starting over from the top for one reason or another, resetting the TRISA to 255 (all inputs), disabling the output drivers. My guess is that you're missing a RETURN at the end of the subroutine to which you jump with a GOSUB.

/Henrik.