Read this entire message before doing anything.
Cleaning the wheels can't hurt, and also the rollers. If it truly has never been run, you'll also want to put a drop of lightweight oil on each axle, and a tiny spot of grease on the gears.
If the engine has Proto-Sound, Proto-Sound 2.0, you'll want to charge the battery, or probably replace it. To charge the battery, put it on the track and apply about 10 volts or so from your transformer. Let it sit for a few hours that way, then power it down and try again.
HOWEVER, you may just want to take it to someone who can service it for you and inspect the insides. There have been reports of the batteries that were installed from the factory leaking on occasion. These are usually 18-20+ year old versions. You can do it yourself too, it just depends on how comfortable you are working on it.
There is a chance, depending on age and the state of the battery that just applying power to it again will cook the electronics. There's also a small chance that the battery already did that for you.
