Hi,
What happens is, your delay is too small, so, even though the LED blinks on and off, it's not possible to see with our eyes. Increase the delay to above 200ms and you can easily see it blink.
Which language are you using?
Tahmid.
The solution is to increase your delay, then it will be clearly visible to see led on and off. Another way is check voltage at the pins which is connected to LEDs, It will go high and low frequently.
Initially check to toggle the port bit in the program with some delay more than 100mA.
Check whether all port bits initialized as a o/p port. This you can check with TRIS resistor.