A little more information please.
What version of Visual Studio are you using ?
Are there any messages in the output window in Visual Studio?
In the Team Review installation folder (C:\Program Files (x86)\TeamReview\TeamReview (2010)) there may be a log file , contents of the file if it exists.
You are missing the menu item "Review Code Items" from the TeamReview menus. Have you imported all the work item definitions?