Jorge-
What kind of steamer do you have? How is it set up in the DCS remote? Does the locomotive smoke normally when controlled via the TMCC/Legacy remotes?
On a more basic level, I would check to see if there is enough smoke fluid in the unit, and that there are no air bubbles in the smokestack. Lionel recommends blowing down the smokestack after adding fluid to clear any bubbles that may prevent the smoke from coming out. If you hear the fan but still no smoke, it might be a burned out heating element (ceramic resistor).
Another option as suggested by Cheryl is the smoke/no smoke switch. Sometimes these switches are wired or installed backwards, so while it may sound counterintuitive, check if the unit smokes when the switch is in the "no smk" position.
Good luck!
-John