The config isn't the easiest thing to set. Here's how I do it:

First, I set my assembler to MPASM. You'll find a tab for this in MCS under View | Compile & Program Options.

Then, find the .inc file under the PBP folder that PBP used for your specific device, such as 16F628A.INC for the 628A you mentioned you might use.

Open this file in any text editor (notepad works!) and find the __config fine, and comment it with a semicolon (that's the comment character in assembly)

MPLAB makes a nice platform to set your config bits. Select the device you're using and find the config bits panel. You can see all the config choices, select them, and it gives you the proper names and valuses for the config settings.

In your .bas file, add the config settings. Here's how that looked for a recent F88 project of mine:

asm
__config _CONFIG1, 2f50h
__config _CONFIG2, 3ffch
endasm

2cents: When I'm trying to get a new PIC project up, I do the smallest steps first, things like set the osc frequency and have it come out on a pin so I can make sure I at keast have the clock I need.

The OSC statement does not set the oscillator, it just tells the compiler what freq you think you're running the osc at.