First, you need to please provide more details. You have what sounds like a standing pilot furnace meaning the pilot light is always lit. Is that true?
You say the furnace is lit... but do you mean the pilot light is lit? Or did you go look and see the furnace main burners lit?
If the main burners are in fact lit and the blower is running, can you feel any air coming from any register? If not, you have a problem with the ducting and should not use the furnace until you have fixed the airflow. You possibly risk continually overheating the heat exchanger which can shorten its life.