One wood assume one of two things:
1) You connected it backwards and it is in the blocking mode.
or
2) You allowed too much current to flow through it and you burned it open.
Two is not very likely since diodes tend to fail shorted rather than open. I, of course, refer to small signal diodes. I have seen power diodes that have reduced themselves to two pieces of wire and charcoal deposited on the sides of the cabinet as the result of shorting out.
You do have the end with the stripe pointing to the negative voltage source, correct?