1. Make sure that headset is connected. Headset acts as antenna. So to listen to FM radio, you need to connect headset first.
2. Make sure that you have compatible windows phone version(All Windows Phone 8 devices have the necessary chipset, but some do not have an aerial connection (e.g. Nokia Lumia 620, 810 and 928). That means most, but not all, Windows Phone 8 devices only with updates >= GDR 2 (8.0.10322).