I had the same issue. This could happen in two ways. First, you don't have your paths set in Tools location. To do this, goto Project --> Set Language Tools Location, find Microchip C18Toolsuite, expand Default Search Paths(...), and check if you have Include Search Path set to something like C:\MCC18\h, Library Search Path set to something like C:\MCC18\lib and Linker-Script set to something like C:\MCC18\lib (yes, lib too). The first two options (output and intermediate) don't need to be set. Click OK and try it out.
If you came into this situation after you ALREADY made a project work, and now you new project doesn't work, and you are thinking "what the hell..." you are in the second situation. Try this workaround: open a new project with project wizard. Just create a new project, overwrite everything and it's done. It should compile nicely. Don't forget to send an ironic email to Microchip, stating the they are a hardware company, not a software company, so they should leave the software stuff to people who really understand it.