Hi, using the AD Module would make more sense. Comparators can only be used for single voltage references. Use the AD module to convert the input voltage and according to the calculated value, turn or flash your corresponding LED. Nigels tutorial will get you started.
Unfortunately the 628/A does not have a AD module - so you might be better upgrading to the 16F88 which does have AD.
Nigels tutorial is excellent though for many applications you can feed your 0 - 5v signal straight into the AD input of the pic, a voltage reference diode and op amp are not always needed.
For a simple experiment simply use a 10k trimmer connected to +5v and 0v with the slider to the pic AD input.
The '628 has a Voltage Reference Module that can be connected to the comparator. By selecting different reference voltages you can detect the output of a comparator and work out the voltage you are detecting.
@ Colin, he wants to detect the voltages simultaneously and there is only one vref pin(which can output different voltages as you pointed out). Also since he has put up 3 voltage levels to be detected, he wont be able to do it with a 16F628A which has two comparators.