Code:
DEFINE OSC 20
INCLUDE "modedefs.bas"
TRISD.0=1<<<===You've set D.0 to an INPUT here!!! Might want an OUPUT!
LED VAR BYTE
LOOP: LED=1 : SERout PORTD.0,T2400,[LED] : PAUSE 5 : GOTO LOOP
END

And the Lab X2 code:

DEFINE OSC 20
INCLUDE "modedefs.bas"
TRISB=%00000001<<<===And here too, but this is correct
LED VAR BYTE : LED=0
LOOP: PORTB.2=1 : SERIn PORTB.0,T2400,[LED]
IF LED=1 THEN
PORTB.1=1
ELSE
PORTB.1=0<<<===Might want to turn the LED off if you don't receive anything
PAUSE 100
ENDIF
GOTO LOOP
END