I have a Honeywell RTH5100B it worked on one wall, but we switched it to another and now it is not working. I do not have the manual, but I looked it up on line to see about the wiring and I can not tell with the colors and it shows more wires than what I have.

Your manual is below. All questions will be answered in the manual provided.

http://customer.honeywell.com/techlit/PDF/69-0000s/69-1716.pdf

We did all that it's all lit up and it says heat on, but the furnace is not turning on

Could be a furnace problem. Jump R or RH to W at the furnace low voltage strip and that will bring on the furnace unless the furnace has a problem.