Hi Vivek,
The short is only for a quick test, not a permanent feature of the programmer!
Revised instructions:
Toss your programmer for a moment.
Short TxD to RxD (pins 2 and 3 on a 9 pin D).
Now try P&E again.
Then remove the short.
If you don't get loopback now blame cable, COM port selection, computer etc.
If you do try your programmer not connected to the device.
If you don't get it now find out why TxD is not looping back on your programmer.
Then get back here with your result.
The path for the loopback on the programmer is in through the MC145407 (MAX232etc) through one gate of HC125 then back through another HC125 gate back through the 145407 and back down the serial cable.
Regards Peg