What phone are you using? Do remember that the Lumia 930/1520 are the only phones that currently support "Hey Cortana". Another possible wrinkle is that your speech/country settings don't match. As I said
in this thread, "Hey Cortana" only seems to work if your country and speech are the same; if your country is set to Australia or India for example, and have your speech set to UK English, then "Hey Cortana" won't be available. You MUST have your country set to UK English as well.
All of these hoops to jump through sure makes using Windows Phone pretty unfriendly to casual users. MS really needs to relax the language requirements on Cortana and have it restricted to speech settings only.