I have a gfi outlet I am installing but it doesn't want to work. Could this be a grounding issue and how do I ground this outlet? Can I ground it to the plumbing ?

Be sure to hook power to the Line side, if protecting other outlets, connect those to the Load side.

No, it is not a grounding issue.
And NO, you cannot ground it to a plumbing pipe!

Is it a metal box with conduit?
Do you have a green or bare wire in box?
If so, connect to that.