This usually indicates NO electricity is getting to the unit. Most furnaces installed in the last 15 years have a switch located on the inside of the front panel known as the blower door switch. The panel needs to be properly aligned and completely closed to activate this switch. The purpose of the switch is to prevent the furnace from coming on when you change the filter. If that doesn't solve the problem, make sure the thermostat is set to the temperature you desire and is set on automatic. Finally, check the circuit breaker or contact the gas company to check out your unit or relight your pilot light, the gas company will do this for free!