Hard to guess...what can be the problem. You need to give folks ALOT more information.
Is this some new project? Like some small VCR or hard drive motor you made the bridge for? Or have you managed to get your axial machine together in record time?
If you are using those tiny IN4007'S in anything capable of more than a few hunderd mA I fear they won't last long. <- At least do your best not to short the output or put much of a load on it.....
That brings us to the LED..Any current limiting resistor in series? If you know the open voltage out of your bridge it may be possible to find a resistor value to let 10 or 20mA flow to your LED and let there be light.
Keep up the good fight my friend. And remember the more info the better. For more reading on current limiting resistors for LEDS, go to the site you nicked the rectifier diagram from and see the chapter titled Light-emitting diodes.http://www.faqs.org/docs/electric/Semi/SEMI_3.html
It's all good fun,