How to connect the LED through 8051 microcontroller

There are so many 8051 varients that it's open ended. Logic levels are also required to be known. The ULN200? Series devices work well for interfacing with lamps or relays. Look at the data sheet for the ULN2003 and ULN2004.

They make interfacing easy because when the input is unplugged, they are off, hi- level input - on, low level off.

See if any of this helps:
8051 Projects (http://www.rentron.com/8051.htm)

LED could be easily be connected to 8051 using a 220ohm resistor in series with the controller.