Have you got a High ID (are the arrows at the icon in the lower right hand corner green)?
If that's the case, you'll just have to wait. The ED2K network works with a credit system. If you upload a file you get credits, the more credits you have the faster you advance through someone's queue. If you've just installed aMule, you don't have any credits, so it can take a while before a download starts (if you double click a file, you can see your queue rating).