Hi
You need to light the pilot, grey knob and ignition button if a manual model.
If the pilot is lit and the room stat is calling for heat there could be a number of problems.
The flame in window is the pilot, get a tad closer when the burner fires and you will see the whole burner lit.
I need to know the programmer make and model and if you have a room stat.
Alex
If its not broken dont touch it, when it is broken write down the connections BEFORE its in bits on the floor!!