Its always the simple things you feel everyone should know. So here are my stupid questions.
Did you bypass any of the safety locks?
Is the control in edit mode?
Did you reset before you tried it? Make sure the program is not still in run mode.
Is it a G-Code program, or Mazatrol?

We once had a mazak QT30 that would only run Mazatrol. The company that had the machine before us ordered it that way.