Getting MCLR error in Proteus on PIC18 in a really simple circuit

You didn't show the external circuit, but if you just have a switch connected between the input pin and ground (or power), then that's not enough. That will drive the pin one way when the switch is closed, but leave it floating when open. There is no guarantee what state it will be in when left floating. To fix this, tie a pullup or pulldown to the pin that pulls causes it to go to the opposite polarity when the switch is open.

For example, tie the switch between the pin and ground, and then the pullup between the pin and Vdd. use 1 - 10 kΩ for the pullup.

Some pins of that PIC can be configured for internal pullups. RB4-RB7 can but possibly others on that PIC (your job to check the datasheet). If you enable the internal pullup, then the only external part you need is the switch between the pin and ground.

I never worked with Shiftbrite A6281 led driver but here is what I can think of by looking at the code:

void write_color(unsigned long int color)
{
    LATCH = 0;
    CLOCK = 0;   
    ENABLE = 0; // 0 = ON

    for (int i=0; i<32; ++i) { 
        if (((color >> (32 - i)) & 0x01) == 0x01)
          {
              DATA = 1;
          }
        else 
         {
            DATA = 0;
         }
        CLOCK = 1; 
        __delay_ms(1);
        CLOCK = 0;           
    }

    /************* HERE I CHANGED ****************/
    //I am assuming when Latch is set to 1, It accepts value
    LATCH = 1;
    //Send a Clock pulse!
    CLOCK = 1; 
    __delay_ms(1);
    CLOCK = 0;
    LATCH = 0;
    // ENABLE = 1; 
}

I would also suggest, if possible, try this circuit on Simulator first and check it!