Diagnosis
Yeah, this one's common. The heater's fan is running, but the electric heating element that warms the oil isn't engaging. It's almost always the thermostat dial not being set high enough to trigger the heat cycle.
How to Fix It
Check the main thermostat dial on the top-right of the unit. Turn it clockwise to a higher number. You need to set it to a temperature higher than the current room temperature for the heat to kick on. If the room is 65°F, set the dial to 70°F or higher. You should hear a faint click from the thermostat when it engages.
If That Didn't Work
There's a separate high/low power switch on the side. Make sure it's flipped to 'High' (I or the sun symbol) and not 'Low' (II or the moon symbol). On Low, the wattage is halved and the heat output can feel very weak, especially in a cold room.
Heads Up
These heaters work by slowly warming the sealed oil, so it can take 15-20 minutes to feel significant radiant heat radiating from the fins, even after the element is on. The fan just circulates room air past the hot fins.