OK copying and pasting that example into a blank page on Microcode studio and hitting F9 to compile produces an error. 113 (path and file name).asm59: symbol not previously defined (_FCMEN_OFF_1H)
I don't know wich version of MPASM you're using, but i use the latest 5.06 (well i think it's the latest... ) could it be the problem?

Regret that I can't see where the error is coming from as there is nothing in the INC file (BPB folder) or am I looking in the wrong place?
compare/post your fileName.HEX file with the one i posted, those last bytes (in color) are the config fuses. It may reveal some interesting stuff. if they're different, just edit the .HEX file 'till it's the same, retry to program your PIC.

I've tried grounding PGM with a wire whilst programming and leaving the jumper off, whilst programming the code in post# above the config settings in Winpic are displayed as FFFF and FFFF (config word 1 and 2), and with PGM grounded the programming failed. I erased and read back the PIC to make sure there was no code in the PIC. Disconnected the serial cable and re-connected, re-launched WinPIC and loaded the same code. Again it errored when programming. I then used PICpgm to program the code - it reported it programmed without errors (I did erase the PIC first). I then closed PICpgm and re-opened winpic and read the code back in to the application. Under Winpic the config words are reported as CF3F (word 1) and 1F3F (word 2)
Double check that both VSS are tied together, and place a 0.1uF between Vdd and Vss on your ZIFF socket. Keep PGM to gnd. If you still have some errors, try increasing the capacitor and use tantalum type if you reach over 1uF. So begin with 0.1uF, then 0.22, 0.47, 1uF, 2.2uF, 4.7uF maybe it will work. Also measure the voltage on MCLR pin while programming. it should be over 12 volts.