When you checked the voltages did you check the boxes in the JDM hardware debugging dialogue? I could be wrong but I seem to remember IC-prog doesn't power the chip properly when it is not programming it.
Failing that, I believe your serial port can't provide enough power/voltage for the programmer. Laptops especially have this problem, as do new computers with serial ports, because the days when RS232 were +/- 12V are gone, most only output about +/- 7v ish (that goes for USB-RS232 adapters too).
Many programmers use an external power supply (15v) which can provide the 13v for MCLR, and then use a regulator for the 5v..in this case, the JDM style programmer simply switches these voltages, rather than actual;ly produce them from the power from the serial port, generally much more reliable.
I hate to say it, but I would cut your loses and buy a PICkit2 or a copy off ebay
The chinese copies/cloines are very cheap, work with USB, and support many chips, worth it if you are planning on promgramming PIC's for a while.
Could you provide a schematic of the programmer you built? there are many variations of the JDM, some more reliable than others...
Blueteeth