Welcome to SoR.
If by "the LED piece" you mean the LED, then any LED will do, you might just have to change the resistor value a little bit. (Probably not however) If you think you're going to continue this hobby, I suggest getting the pack of random resistors they have at radio shack. (It's only a few bucks if I remember correctly) It's nice to have a bunch of different valued resistors just layin around, although I've ever only used 4 or 5 different values from that pack.
You'll also be able to pick up the LED at radio shack (at a much higher price than DigiKey however) It'll probably be anywhere from $1 to $4 depending on the color you want. Honestly the LED isn't REALLY needed, it's just a status light, but it's nice to have regardless.
Also, some radio shacks have the little technical section (with all of the parts you need) and some don't. So if yours doesn't have a bunch of color coded drawers with resistors and LEDs and a bunch of other stuff in it, then you'll have to go to a different radio shack.
Also, I'd suggest buying a couple LEDs because if you get the resistor value wrong, you'll fry the LED, then you'll have to go out and get another one. Again, you could get the bag of random LEDs if you wanted, or you could just pick up a packet of two. (Although again, they're much cheaper online, I got a container of about 100-200 of them for a few bucks once). It's nice to have extra LEDs laying around as well.
Anyway, good luck, they're plenty of help here. My advice is to simply check your board before putting the microcontroller or anything important on it. (I'm assuming you're not using a breadboard, if you are, ignore this.) One of the main problems people run into is that there will be a short somewhere on their board, causing one of the components to fry, or something just not act right. It's kinda like the old adage, measure twice, cut once. Well in this case, check twice, so you only have to put everything together once.
Good luck, we'll be here if you need help.