PLLDIV and CPUDIV are different things.
PLLDIV is a programmable divider that MUST be used to set the USB speed and can optionally be used to set the CPU speed.
CPUDIV is a programmable divider that only sets the core CPU clock speed and other (non USB) peripheral speeds.
Please forget the fuse settings in microburn, under normal circumstances you never have to change them, they are set automatically by the __CONFIG directive in the source code and embedded in the HEX file. Microburn is not a clever program, it will simply use the fuse settings it sees in the HEX file, regardless of what the fuse settings screen tells you. Please remember that the last official version of microburn was released at about the same date the 18F4550 came on the market so it is quite possible that it was never tested with that PIC and some options were left out off the screen, they are still there though and will work properly.
You have never shown us your schematic, if it doesn't work I suspect your problem lies somewhere else. Can you tell us exactly what happens after you have programmed the PIC and you try to run the program.
Brian.