With SSPM3:0 = 0011, it specifies the SSP clock comes from Timer2/2. But you haven't set-up Timer2.

Since the MAX7219 is a 10mhz device, you can run it at the highest speed available from the PIC.
SSPM3:0 = 0000 -- SPI master mode, clock = FOSC/4

And I think CKE should be 1.

In the Main loop, you need to wait for the SSP to finish sending the last byte, before putting a new one in the buffer.
Code:
main:
    toggle PORTB.0 ' to see if something is happening
    SSPBUF = "A" ' write to SSPBUF to start clock
    WHILE !SSPIF : WEND
    SSPIF = 0
goto main
Also the MAX7219 needs a Latch(Load) signal from the PIC, to latch the last 16-bit's into the device. Since you're only sending 1 byte, I guess you just haven't made it that far yet though.
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