I bought some remote-control servos from China recently - got stitched up a bit with VAT getting added later and DHL charging me £11 for the processing, adding a total of 50% to my order so they ended up working out about £2.50 each. I think you can probably get them cheaper if you buy them in smaller numbers so they fly in under the radar as it were (legally!).
Anyway, I knew how they were supposed to work, connected one to my PIC prototype board and....it didn't work! Nothing.
While Googling the potential problem, I have learned the following, some of which is generally good advice for most things!
1) Start with the simplest PIC program you can and if possible, add some checks to make sure it is working as expected. For instance, I made a program that set two servo positions and changed every 2 seconds. I then connected the timer to another LED so I could make sure that the program was running at the correct rate and probably working.
2) Remember that the servo will draw a significant amount of power when it is moving (as little as 45mA but potentially much more). Most controller outputs cannot source that level of current so don't do what I did by connecting the power wire to a switched output of the PIC (I did it so the plug would fit somewhere useful on my board where I couldn't get 5V GND and a digital IO next to each other!)
3) If it moves but doesn't go where you want it, it is possible the pulse width to position is not what you think. See if you can find the spec for your servo - it is not always that easy. You could also experiment with different values.
4) Check (carefully) that the arm is not stuck at one of the extremes. Although the gearing will make the arm hard to move, even under no load, if you are careful, you should be able to move it away from either end.
5) It obviously could be broken so having a second spare one is obviously helpful.
6) Be careful with oscillator settings. If you have accidentally got the timings wrong, the pulses could be 1000s of times too long or short. Again, it is worth connecting a spare LED to an output to ensure the cycle times are as expected.