If you open your recording devices in control panel, is your default input device set to your headset (or whatever mic you want to use with VoiceAttack)?
VoiceAttack (via Windows speech recognition engine) relies on the default input device to do its thing. I would make sure the volume level is up in the control panel applet, too.
When you say it does nothing, no box is displayed? If no box is displayed in a timely manner, is the machine hooked up to the internet?
Gary