Mach 3 needs to know what you want it to do at a tool change.
1. - It can ignore it
2. - It can stop and wait for you to change the tool manually
3. - It can follow some local code and run an automatic tool changer.
If you look on Config/General Config - in the top left hand corner you will see the choices. You probably have "Ignore it" ticked if nothing is happening. If you change this to "Stop and wait - " then the machine will do just that, it stops. It will change the tool number to whatever tool you have selected in M6 T? (and will select offsets for that tool if the tool table is completed) and then wait for you to click cycle start again.
You can expand this by writing your own macro to use with M6 so that the machine might move to a specific location for the tool change and then return afterwards etc. - see the Tutorials on "Scripting"