Are you using the blower while the locomotive is stationary? A steam loco needs a draught through the boiler tubes in order to build steam so hit the 'N' key a couple of times before you even think about doing anything else.
Once you've got boiler pressure and before starting off leave the reverser in mid-gear and open the regulator to about a third to fill the steam chest.
If you've only got 'ghost steam' in the boiler, the boiler pressure will immediately fall to almost nothing. If the pressure stays more or less level between the boiler and the steam chest and doesn't drop when you open the regulator you should be good to go. Take the regulator to half and shift the reverser a little into forward gear. The boiler pressure might drop a little and you should start to hear the loco take up the slack in the couplings. Once the loco's starting to move open the regulator some more and control your forward speed with the reverser.
This is assuming that you did your sums right when you made your engine spec and your boiler is actually capable of making steam.