It now works!
I have a confession to make that might seem very obvious to you. With all the other micros I have played with (PICs, 8051, 68000 and some others) you can step through the code without needing to connect to the hardware.
It looks like the ARM is different - although I did have the hardware connected when evaluating with the IAR platform. I need to look more into this.
With the Crossworks compiler, it took some effort to get the compiler pointing to the right J-LINK files, but now it works and my LED is flashing under compiler control.
I really appreciate your help and patience with getting me through this. Now I have overcome the simple (read: stupid) stuff, hopefully I can move forward a bit faster!