Are you getting clicks for each shift of the shifter?
Are all your housings installed against their stops?
Did you pull all the slack out of the shift cable before attaching at the derailleur? Was the shifter in the position for the least cable tension (clicking the small lever through it's entire range) when you attached the shift cable?
If you pull the cable away from the downtube, does the RD shift?
Check through these and you should be able to isolate the problem area.