The first, obvious question is: are you using the newest version? (That's 39c, released, oh, this afternoon) If so, then doublecheck that you've
a) Assigned tasks. Your mason isn't going to do much if you've got no jobs in the Mason's Workshop.
b) Assigned labours. Make sure that your mason has Masonry highlighted.
...now that we've dealt with the mandatory checks, down to business. Sometimes, it seems as though jobs refuse to request nearby dwarves. Try deleting all active tasks and then re-assigning them. Do you have all error messages turned on? (It's the default, so if you haven't been fiddling, the answer is yes) And have you received any error messages? Are your dwarves throwing a party? (Shouldn't happen early on, but stranger things have happened, and if you miss the announcement it's a bit hard to tell) Did you draft them all and forget to release them?
In case of drastic measures, try quitting and reloading. If even
that doesn't solve the problem, then try creating a whole new world and seeing if anything happens there. Then try downloading DF to a new folder and trying that. Then download it to a different computer. Then abandon hope and seek refuge in the story forum. It's drastic, but better than nothing