Are you using a DMX controller? Just turning the light on will not do anything as it is intelligent. If you have nothing (other then power) hooked up to the light, you will need to put it in demo mode or sound active mode for it to open the shutter. You can also program a static look in a scene where the shutter can be opened and color changed etc. Check your manual for more information on how to do this.
Now if you are using a controller and its still not working, make sure the DMX address is correct, the dimmer and shutter values are at full and all that stuff. If that doesn't help then try resetting JUST the shutter through he control panel and what happens when it is reset.
Good Luck!
-Homeboy