Please be more specific. Read the sticky and follow the instructions it gives. If that doesn't work, tell us exactly what you're doing. Some common mistakes include:
1) Naming units.dat/weapons.dat/etc. something other than their default name.
2) Not placing .dat files in the arr\ directory of the MPQ.
Make sure you've done everything as the tutorial describes it, and then get back to us.
If I had a penny for every time I'd seen one of these threads, I'd have...er...about $1.07
if i had a penny for every time i'd seen a thread that can be answered with "sticky" or "google", i'd be a millionaire