The batteries in the train are probably dead. They go quickly. Remember to turn off the engine when not in use. Otherwise it is eating up juice waiting for you to move the remote. If you don't then when you finally do, the engine is dead.
Be sure the connection between the engine and tender is pushed in all the way. Also, if you're using the original batteries from the box, I would toss them and put in fresh new batteries. Then press the start button on top of the train. Make sure the remote is on and then you should be good to go!