PIC's output pin not turning LED on
Sounds to me as thought your oscillator settings are incorrect. Some modes will have your PIC just stall waiting for a correct clock. Interestingly enough, I've been able to program and verify a pic32 with a broken oscillator. 


Make sure you set your configuration bits corresponding to the board you have. 
Verify that the board has proper bypass capacitors. 
If you have access to an oscilloscope, verify that the oscillator is running by probing on the driven pin (refer to the oscillator section of the PICs family datasheets).
Also try running with the internal oscillator.