The usual set up is as follows:-
+5v -----
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\/ LED
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R Resistor
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Processor Pin
So you have to make the processor pin low (ie 0v) to make current flow through the LED.
I uploaded the code and it still won't shine leading me to believe the LED may be broken however how can I verify this?
This will depend on what "the code" actually is and where you got it from (sorry but there are lots of versions out there I think). It will need to make the relevant io pin into an output AND set it low in order for the LED to light.
try what Razor Concepts said - but make sure you remove the chip first (with the power off) and make sure you connect the power across the LED+resistor not just the LED as that will blow it.
EDIT: Try using the Search function on this forum for "$50 LED" - theres lots of stuff !