First off, you don't have to have plaster. It is nice to have for your hospital, but your doctors can immobilize limbs just using splints. You can have your carpenter make splints in the Carpenter's Workshop (at the end of the menu--- scroll down!)
Second, your kiln needs "fuel" (charcoal or coal coke) as well as an empty bag and gypsum, alabaster, selenite or satinspar to make plaster powder, according to the Dwarf Fortress Wiki (at:
http://df.magmawiki.com/index.php/DF2010:Kiln).
To create the fuel, you need a wood furnace to burn wood and make charcoal, or "coke" bars which can be traded for or created in a smelter by burning lignite or bituminous coal in it. Please note: if you have don't have any fuel to begin with so you can convert lignite or coal into coke at the smelter, to get the process started, you will need to build a wood furnace to make that first bar of charcoal. That bar of charcoal can THEN be used by the smelter to start coverting the lignite and coal into coke.
Even if you have everything (ie, the fuel, empty bag, and gypsum or other plaster yielding stone), sometimes you can only get the process ordered by using the Manager. I don't know why, but I have found from time to time that I couldn't order the making of gypsum plaster from the kiln, and had to go into the Manager to schedule the job through it, just like trying to make soap in a soap workshop for the first time. It happens. Letting you know so that little gotcha won't get you.