Problem with arduino Duemilanove!! HELPPP

I have look through your posted pics and I have found that you have wired the LED the wrong way like this.

This way the resistor will not limit the current for the LED and your will damage your Arduino out put pin.
The resistor have to be in series with the LED in the circuit.
The correct way to wired your LED will be like this

In-case you have miss the BreadBoard connection will look like this