Ahh I see now. You're using the Swordfish BASIC IDE. You should be using MPLAB (and running the Wizard as described in the Junebug manual)
As awesome as the Swordfish IDE is it is only meant for BASIC programs.
MPLAB is an IDE for .ASM (MPASM) & .C (C18, ccs, HiTech, etc...)
Swordfish is an IDE & compiler for .BAS files
PICKit2 has the Logic tool & Uart Tool. It is best for loading .HEX files
PK2CMD.EXE is the DOS command line program.
Close Swordfish and open MPLAB and run the Wizard. The add BLINKY.ASM as a Source file.