How do I close an incorporated business that never got off the ground?

The proper way to close a business is to file a certificate of dissolution with your secretary of state. There will be other papers you need to file in order to confirm that you don't owe any back taxes to your state and that you're not shafting any creditors.

A local business attorney should be able to help you with this--if you've not had a lot of activity in this business, it should not be a complicated process.