I use same programmer and it works fine on all but one PC (I guess I'll have to add that modification with PNP transistors to pull the line down).
Circuit is very simple. Once assembled and powered, check voltage between + and - terminals of the bridge rectifier. It should be 15 to 20V
and green LED should be on. If 25pin cable is not connected red LED can be either on or off, it doesn't matter at this point. If you don't get 15V replace wallwart for something else.
Next check levels on outputs of each regulator. If you don't get regulated voltages 13V and 5V replace bad regulator.
You can measure 5V right on the socket for PIC (check 16F84 pinout).