Does it come up with an error when you try and make one? Or just do nothing.
If it comes up with an error, try deleting the contents of FDB which is...in the DBServer folder. Also just check that you did everything correctly when setting up SQL, if this is 2.3 that is.
If this fails, just do a search, are plenty of threads on it here pal; you'll find a solution somewhere
EDIT; NOT FDB. IDDB which is in LoginGate

Sorry.