That's not really very much to go on.
Have you connected the wire from the ESC to the throttle channel of the Rx and are you sure the plug is the right way around?
Some ESC's dont supply power to the receiver, these are called 'OPTO' type ESC's. If that's what you have you need to rig up a separate 5-6V power supply for the rec eiver, either a battery or a stand alone 'BEC'.
Telling us what hardware you are using and maybe a photo of how it's all connected would help.