I believe that it could be one of two problems. First of all, and the painfully obvious one, do you have the red power switch in the on position. Try moving it to different settings to see if it does work at all. If it does, put the switch back in the center position and try shredding again. If it doesn't work, then you may have a faulty shredder. (This and the following are believing that you have a new shredder and you are trying to get it to work for the first time.) Second, if you lift the unit off the paper bin and look on the bin, you will see a slight protrusion, like a "tab." When you place the unit onto the bin, this tab must be aligned with a slot on the shredder unit; the slot will have a small strip of silver metal inside, it is part of the safety mechanism. If you are using a trash bag - to make for easier shredded paper disposal - you might have to use a bit of pressure to make sure the tab makes contact with the little piece of metal. You also may have to turn the shredder unit around 180 degrees and re-seat the unit.
If it still doesn't work, call the service/warranty/support department and find out what you need to do next.