Hi,
You really need to post your code in case you have a error there.
Hardware wise, have you got the led to the right port, connected the right way around and fitted with a 330 to 470 ohm series resistor ?
As to if you chip has programmed correctly, take it out of your circuit and using your programmer 'Read' the chips contents and see if they are the same as your hex file.
edit - its also a know problem that with the crystals wire being to thin you cannot always get a good connection on a breadboard, so soldering the crystal ansd caps on to a bit of board with thicker wires is better.
The Crystal and caps must be on short leads as close to the pic pins as possible.