I take it you want to make the LED flash?
A capacitor is not a
flashing circuit all by itself. It does let current flow until it fills up, but then it stops and that's the end. You could get the LED to flash just once. If you hooked up a switch to dump the capacitor, then you could get the LED to flash once each time you press the switch, but not on it's own. You have to keep pressing the switch each time.
You can probably buy
flasher circuits that do exactly what you expected form the capacitor, but you can easily make your own.
A 555 timer is a
very easy chip to work with. (And pretty cheap, so it's not the end of the world if you destroy it.). Wikipedia has a great page on it. It can work a number of different ways, but, if you look in the "modes" section, one mode is "Astable." That's the one for making the 555 turn on and off over and over. It only takes the 555, 2 resistors and 2 capacitors to make it work. In wikipedia's schematic, it has a little red squiggely line next to "out." You would hook your diode and a 3rd capacitor from there to ground.
There are other ways, of course, but that's what I would use.
On the other hand.. if your just trying to learn about capacitors and how they work... Well, you just learned that they don't make an LED flash all by themselves.
--tim
Edit:I agree with markm6164 :endEdit