Start with the basic stuff.. more often than not, people with this problem overlook something rather than actually have a problem.
if it lights up, that's a good sign. check the speaker connections, if they are the spring type, alot of people (including me) have clamped down on the insulation, rather than the wire. it's not a good connection so you don;t get any sound.
check the wires at the speaker end and make sure they don't touch and short out. follow that with checking the fuses or breakers at the back of the system to see if an earlier short tripped them or blew the fuses.
look at the connections for your cd or dvd player (or whatever you are trying to liste to).. are those solidly attached ?
the next thing would be to check the front panel. is there a switch for A and B speakers ? check to make sure the switch is set to match what you wired up in the back.
check to make sure that "MUTE" isn't showing up in the display. some older models don't automatically turn mute off whne you touch the volume button.
alot of this is basic stuff, but most people miss something when they are in a hurry to play with new toys..