Ok, you'll need two things active for it to work, the first is that in the actor's physics settings, the actor must be set to NOT have physics disabled (Advanced Tab, first option) and that in the 'General' tab the actor is set to be allowed to be affected by gravity, and that it's 'type' is set to normal. The second thing is to check the scene it's in, is there actually any gravity in it? Go to the Physics tab (think it's called that) and check that there is some amount of gravity in any one direction.
Here's this post as a short list:
Physics Page For The Actor:- Actor is normal
- Actor is affected by gravity
- Actor physics is NOT disabled
Physics Page For The Scene- There is some amount of gravity
EDIT: Ninja'd!