You've got a great chip to play with as a starter... that's because you can run on INTERNAL OSCILLATOR and INTERNAL MCLR... that eliminates two sources of trouble for a newbie... all you have to do then is worry about putting 5v on the proper pin on the chip, and stuffing a correct program into it. Excuse me for mentioning it, and don't be offended, but you are connecting the LED the correct way around too?