Anna,
If there is only one switch, then your frothing wand is most likly
activated by a knob of some sort (usually on the side above the wand
itself). If you turn the knob and nothing happens, give it a minute as
it may be taking some time to actually heat the water and make the
steam. If you have a picture, or can find a photo on the web, that
would help me help you a lot more. In regards to actually foaming
milk, there are tons of web sites devoted to that subject. One of the
better sites is coffeegeek.com and they have an article about that very
subject

http://www.coffeegeek.com/guides/frothingguide

The trick is to "surf" your milk. This means keeping the frothing tip
just enough below the surface of the milk to ariate it. In most cases,
you should hear a kissing/hissing sound to let you know you're in the
right spot. Hope that helps!

M