Two ideas:
1: Ensure none are in master and/or slave mode. Make sure none are in a full auto/sound active mode. Make sure all are in DMX mode.
2: It's often good practice to plug in the DMX controller before you power up the lights, but it should be fine no matter when you plug it in. Some folks prefer doing that connection after the lights power up and go through their reset state.
Sorry, I'm feeling especially depressed and lazy today, I'm not downloading any manuals right now.
Other things to do:
Check your DMX addressing. Make sure there are no overlaps. Feel free to match addresses on LIKE fixtures if you want to "double up" on things, no harm in that.
Other information you could provide:
What DMX controller are you using?
And now the typical stuff: Use DMX cabling, it works better than microphone XLR cabling. Trust me, it does. And don't use DMX cabling on microphones, it will make your audio sound like crap, especially with condensers as you're killing all your sound with the higher resistance load on the DMX cabling.
Use a DMX terminator. Build them yourself, should cost less than $5 and take less than 15 minutes including soldering iron warm-up. Get a nice durable Neutrik male XLR connector and a 120-ohm 1/4-watt 5% resistor. I bet you can get 100 of the resistors for less than $2. Connect the resistor between pins 2 and 3 and you're done. I would recommend trimming excess off the leads though. And let's be green, try to avoid using lead-based solder.
Back to the controller: It could simply be that you're not activating the proper channels via "scanner" buttons.
My thoughts:
You're not in DMX mode on the fixtures. They respond to each other on their own, so they are in master/slave modes with the master in auto mode and the slaves following it. Read your manual, see how to change them into DMX mode and you should be ready to have some fun.