You are the 2nd person who was reporting a problem in a JDM programmer this week. If the circuit diagram is correct and you made everything correctly, it should work. Make sure you have connected the programmer directly to a serial port of the computer. USB -> Serial converters won't work.
See
How to start with Microcontrollers article to verify whether you have made the settings correctly.
You can double check with this confirmed working
Multi PIC programmer circuit diagram as well. If you are not good in making circuits, I recommend you to buy a off the shelf JDM programmer. We have a member who has started to make PIC programmers now. If you want to buy one, PM me.