A new lamp takes at least four hours to warm up enough for the wax to melt. Once the wax has melted it will drop to the bottom and then gently rise.
The wax will not rise if the lamp is not warm enough. This could be the result of a burned out bulb. Follow the instructions for removal of the old bulb and replacing it with a new one. There are several types of bulbs depending on the particular model of your lamp.
A lava lamp will not function properly if the lamp has been shaken. This will cause the wax to break up, prohibiting the wax from rising and causing the liquid inside the lamp to become cloudy. Try turning the lamp off to cool and then turn back on in one or two short bursts.