Okay:
#1 Waht version of iPod do you have? Is it the 3rd Gen with the buttons above the wheel, or is it a click-wheel version?
if your answer is 3rd Gen, you need a compatible 3rd Gen dock. The pin configuration on the dock and 3rd Gen iPod are different from current docks and iPods. I won't bother askign if you have a mini-dock cos the bigger ipods will not even fit those.
#2 Do you have USB 2.0 on your computer?
if you have USB 1.x the iPod will not charge as only USB 2.0 will carry a charge.
#3 Did you receive the AC power adapter with the ipod. There are two versions of this, the Power Adapter (which uses firewire) or the USB Power Adapter (which, well, uses USB 2.0 cables)