Make sure you connected to the subwoofer 'pre-out' on the receiver (sometimes labeled LFE), not the subwoofer in in the 5.1 analog input section (if that receiver has 5.1 analog inputs).
You only need to connect to one of the sub's inputs. Usually the L.
Make sure sub is set to 'on' or 'yes' in the receiver's setup. Some subs have auto-sensing inputs and turn on when a signal is received. Try turning up the volume on the sub or the subwoofer output level in the receiver's speaker setup menus.
Use a mode that uses the sub, like plain old stereo for music or put in a movie.
