I went to turn on the shower (single handle) and no water came out. It is not plugged up. I just recently replaced the shower head and that was working fine.

Where is the problem?
In the handle or in the pipes?
How to figure it out and fix it?

Thank you!

Vicki, you say its not plugged up but I'm wondering how you know this. The mixing valve likely is plugged up. Remove yoyr new shower head temporarily just to take it out of the equation. Did this make any change? If not you'll new to shut off your main and open some other faucet to blow pressure. Remove the handle and the escutcheon, the chrome plate thing, you should see a nut shaped collar or ring that holds in the cartridge. Remove the cartridge and ispect the inlet ports for debris. Tell us what you found.