I finally got to turn leds ON and OFF. In fact, I have made them light on based on a pattern :
PORTD = 1;
I actually used the code that is recommended by AVR gurus that is using C operators, however for this simple purpose, I just ommit them here.
My delay routine was simple:
void Delay( void )
int cnt = 5555; /*Should be unsigned long cnt = 5555 */
while( cnt-- );
Dumb me. The compiler will ignore my int cnt ! I just need a unsigned long int and it will work. Well, it has worked ! :-)