1. Disconnect the cable from the derailleur.
2. Hold the cable with your fingers and cycle the shifter with your other hand. Can you feel any cable pull? If yes, cycle your shifter into it's hardest gear position, reattach the cable to the derailleur and try again.
3. Check where the cable goes into the shifter. Make sure that it's seated properly in the shift mechanism. If it's not, pull it out and start over. You might have to buy a new shift cable.