After reading the HELP from the programmer, I checked PGM and it does have 0V.

I also checked the configuration and see nothing wrong:

__config _BODEN_ON & _CP_OFF & _DATA_CP_OFF & _PWRTE_ON & _WDT_OFF & _LVP_OFF & _MCLRE_ON & _HS_OSC

This excerpt of the Help file is exactly what is happening to me:

The device programmed once, but subsequent attempts return a Code Programming Error. - The configuration setting "Low-Voltage Programming" is Enabled. This leaves the device sensitive to a signal or high condition on the low-voltage programming pin (see the Microchip datasheet). To recover from this condition, you must tie the low-voltage programming pin to ground and reprogram the device. Or the device may need to be erased before reprogramming.

Oh poop...

Robert