Why wont my car respond to the car reader?

I bought an OBD II reader at walmart and hooked up per instructions and it will not read anything. I thought it could be a faulty reader so i hooked it to my truck and it worked fine. I then checked all the fuses on the dash pertaining to the ECM and none were blown. Any ideas what could be the problem? If the ECM was bad would the check engine light even come on?