It's gas central heating with regular water filled radiators?
If you have a TRV on this particular radiator unscrew the top control piece and check the little brass pin - they often get stuck down in the fully off position - pull it up gently with pliers otherwise...
Radiators have two valves - open them both fully anticlockwise - as a test close off all the other radiators - now the only place for the hot water to go is into your cold radiator.
If it stays cold than it may be sludged up and need flushing clean. If it gets warm then the other rads have been taking all the available heat and by the time the water gets to the problem rad the water has cooled.
There are three things you can do:
Crank up the heat one notch at the boiler
Speed up the circulating pump
Balance the radiators (close off the outlet valves a bit on the warmer ones) to even up the heat distribution - see...
http://www.miketheboilerman.com/balancing.htm
Good luck...
Peccavi
March 2009