Well, there are a couple of issues with your project:
1. You seem to be using the incorrect QSF file for the DE2-115 Board. I've modified the schematic and loaded the correct QSF file. You can download and try it out.
2. You cannot set pins of the same IO Bank as both Input and Output. If you want both directions, you will have to use the pins as IO.
I've attached the Quartus archive of your project. Open it using the tool and check if it works on your DE2-115 board.
If you look at the Pin in the schematic, you see a VCC under it, double-click that and change it to GND. Thats the default value of the Pin. This is why the LED is lit up when you program the board and goes off only when you short it.
Plus using the EX_IO or EXT_IO pins on the board fo GPIO purposes is not correct. If I'm right , the EX_IO/EXT_IO pins are used for the HSMC connector on the board and are not connected to the GPIO header.
-Abr