And you have a resistor (470 ohm) connected to the LED so you dont fry it?

And you have tested the LED that it is working by connecting it thru a resistor to the powersupply?

Checked that you have VDD availible at the PIC and that VSS really connects to the power supply?

What if you connect a resistor and LED across the PIC VDD and VSS lines, then it should turn on when you start your power supply.

As you said it is probably something stupid, and then this might be something to start with.

And dont forget to disconnect the incurcuit programmer since that one will hold the PIC in reset.

/me