Balloons don't float for a number of reasons. A balloon must be inflated with helium for it to float. If it still does not float, make sure that you are blowing the balloon up to its full size. An under inflated balloon is the most common reason for a balloon not to float. Do not fill a balloon smaller that 9" with helium as they only float for a few hours.
Some very cheap plastic balloons will not float when filled with Helium / balloon gas. This is due to a poor design and manufacture where the weight of the balloon exceeds the lift of the helium gas.