Is this an older brass engine with QSI or Proto-1 reverse and sound? If so, it needs a rechargeable 8.4v NiCad battery, which you can get from the hardware store, Harbor Freight, Radio Shack, Amazon, etc. Be sure to get 8.4 volts - There are some 7.2 volt rechargeables in 9v shells and those will not make your engine work. The battery MUST be charged before use. You can charge it in the locomotive by leaving it in neutral with 10 volts or more for an hour or so, but it's better to charge it fully on an external charger. Also, you should only use a NiCad battery on these older units. The old QSI-OEM electronics will not stand up to the current demands of a NiMH battery or BCR and you can blow the charging circuit if you install the wrong battery.
You can use a 9v alkaline battery for a brief test, but for regular use you need a rechargeable Nicad.