Hmmm... you got your MCLR pin floating?

ensure... You have pin 1 (MCLR) connected to +5v
ensure you have +5v on the Vdd pin
ensure you have BOTH Vss pins connected to 0v

Burn-in a blink LED program (with the LED on a PortB pin so as not to worry about internal ADC's and comparators) to test your PIC is alive.

Last of all, try another PIC.