Setting up Wireshark to capture packets for the first time can be tricky.
Here are some common pitfalls:
You need to have root / Administrator privileges to start a live
You need to choose the right network interface to capture packet data
You need to capture at the right place in the network to see the
traffic you want to see.
... and a lot more!.
If you have any problems setting up your capture environment, you should
have a look at the guide mentioned above.