This is a fairly common issue with 12FXXX and the JDM combo, specially if you have configured the pic for internal oscillator *and* mclr_off. If you have, the only way to reclaim the chip is to erase it in another (USB or parallel port based) programmer that can independantly control the sequence of switching on the +5 and +12 volts while programming.

There are variants of the JDM people have designed to take care of this problem using a little extra circuitry. I could give you the URL, but I'd honestly advise you to switch over to something more robust.

Regards,

Anand