Quite a few reasons:-
1) Incorrect game version.
2) Changed the game executable's name.
3) Firewall/AV blocking the trainer.
4) Run the game first, alt+tab to desktop, run the trainer and then activate it.
5) Use a No DVD fix.
[Edited by HonestGamer, 1/19/2010 12:19:49 AM]
For Reason *5)* It depend on games because I used to use it on C&C3TW and Fallout 3 and it work fine, as long as you use the correct DVD fix for That version.