When I turn the switch on the thermostat nothing happens and when I go to the furnice the red light tells me everythings is OK what could be happening

Could be a bad thermostat... could be a bad transformer... do you know how to use a multimeter?

Try this;turn the thermostat on then set it to higher temp to the temp show up there,then down to the furnace, off the power switch for 10 second and put on again,if still not;check the red reset button,if it is up then push it down if it start but stop in short while then check the feul supply and the transformer as jones suggest.