Problem With Apple Remote

Hey this might be a stupid question but I have Macbook Pro with the remote and I'm not really sure how it works. Do I need to have an App open for it operate? Can't get it to do anything.. please help
-Dan

nope, just hit play should open Front Row

Actually, the Menu button should open Front Row.

also make sure that your remote settings are turned on

the remote setting is under Security, just a comment there is a little checkbox to disable

and yes, the Menu buttons opens FrontRow, but if you have maybe iTunes open (doesn't have to be your active window) then you can use the remote to switch songs, play, pause ... you can change the volume at any time
some players like vlc also support the remote for playback