Well first of all, you cant jog the machine while it is running a gcode file, if thats what you are doing, then it wont work.
If you are not jogging while running a gcode two things might be happening,
1. you have clicked inside the MDI line or any DRO, which would block the arrow keys from jogging until you get out of them.
2. there is a button called Jog off, under the Tool information part in the main screen. you can toggle it with Ctrl-Alt-J
Hope that helps
Fernando