The bulb would be my starting point. Then I would check to make sure the wires are connected good. By wires I mean the connectors on the back of the instrument cluster. If you eliminate both of those possibilities you are left with a problem that only a dealer with starscan can diagnose.
Does it come on for the self test when you first turn the key? If not then I would head to a dealer to get it checked.
Did you buy the vehicle used? If so, the previous owner may have disconnected it for some reason. You can run by your local parts place and see if there are any codes stored. You should be able to check it yourself by doing the following (I assume it will work) with the ignition.
1-with it switched off, turn it to the on position (not crank)
2-switch it back to ACC
3-switch it back to on
4-switch it back to ACC
5-switch it back to on and leave it on
This needs to be done in just a few seconds, your codes (if any) will display 1 at a time at the odometer.
Your question is a little lacking. Like Tymont ask does it come on when you turn your key on before you start it. A whole dash board of icons light up. If it comes on then but goes off thats a good thing. Please give more info.