void main (void)

{ 
  unsigned int k,l = 0; // k should be a char
  unsigned char j = 0; 
  while(1)
  { 
    for(j=0x00;j<0xff;j++) // the blink frequency will depend on which P3 pin is used
    { 
      P3=j; // set P3 
      // the above blow all control signals and may -
      // generate interrupts if enabled
      for(k=0;k<4;k++) // make next wait *4
      { 
        for(l=0;l<10000;l++); // wait a bit
      } 
    } 
  } 
}; 

besides the comments in the code above please answer
1) is anything else running
2) is your led connected Vcc - 1k - anode cathode - port pin?
3) will your LED light up at 5mA
4) are you sure the code is programmed into the chip, be it external or internal ROM/EPROM/FLASH


Erik