tuxman:
On my arduino I setup for the single LED blink program and connected it to pin 13 cathode and grd on the anode this works fine.
Do not do that again. LEDs always get current limiting resistors.
I then wanted to do the next step of the tutorial with the alternating LED's. For this I connected up the LEDS from Pin 2 - 8 and did the setup, did not work. I then checked my connections and resistors all good.
You had resistor(s) included in the circuit?
Do you have the LEDs the wrong way around?