Have you checked the specific gravity and compared it to your starting gravity? That's the only way to know for sure if any fermentation has taken place (or not). You can't go by airlock activity (if indeed you are)... my current lager has had absolutely no airlock activity, but it is definitely fermenting. I probably have a leak in the carboy cap.
If the gravities are the same, then I'd probably pitch some fresh yeast. How old was the package of yeast you used? Was it treated well, i.e. refrigerated for most of its shelf life? What size package did you pitch? Old and/or mistreated yeast may not be very viable. Also, if you under-pitched, then you may just have a very sluggish fermentation. I'd probably pitch some fresh yeast in this case, too.
Hope this helps... and lagers are fun! Did my first one two years ago, and like the results of doing them.
On Deck: Jamil's Vanilla Robust Porter
Fermenting: Orange Blossom Mead
Kegs: Element 56 Pale Ale, Ron's Belgian Blonde, Summer'n Saison, Furloughktoberfest '09, Grateful Pale Ale, Sam Adams Cream Stout Clone, EdWort's Apfelwein