Richard just so things are clearer:
When you enter the test mode (TST on the display) the following should happen, the 16 channel LED's should turn on one at a time from 1 to 16 then LED's 2 and 4 should stay on. If this is not happening then there is a problem.
Also quoting from the WIKI: "Before using test mode, and after all components are installed you should update the firmware using the instructions available below in "Flashing or Re-flashing the Express Pic". If you fail to do so, the existing firmware may produce inconsistent results noticible by LEDs that fail to light or show as half-intensity."
Hang in there, you will get this working and we will be here to help. Just make sure to ask DETAILED questions (IE: "the green channel LED's" instead of "LED's").