In the Actions Palette is there a check mark in front of the actions. If not the actions steps have been turned off. So the action will not do anything. If there is no check mark drag the action set to the trash can in the action palette. Then load the action set again, The action steps should load with the proper steps turned on.
I always tell my customers:
"Make the image you want to work on the current document, click once on the action name to highlight it, then click on the play button."
As implied by the posters above, be careful not to click on anything else.
Also, some actions call other actions in the same set. Make sure you haven't changed the set name from what it was when you loaded the actions.