As Andy Neil said above, the "classical" 8051 and the older derivatives of it (including AT89C51/52) is designed so that it is capable to sink several mA, but source only several tens-hundreds of uA (there are newer derivatives which have push-pull outputs, i.e. source and sink the same amount of current).

You need to connect the cathode of LED to the 8051 port and anode via the resistor to VCC.

It is quite good you get caught by this simple thing, as it shows how important is to read - and understand - the datasheet and the "bible" (links again in Andy's post). I know it is not an easy reading, but believe me, that it will pay off in the long run to go through it. You can of course come here with anything you don't understand, we will gladly give you explanation (if we know it :-) )

JW