Be sure you are not modifying the script provided by google... If you are sure, you just have to wait for your first click and trust google script is working fine... Are you having a lot of impressions??? What is your site's topic??? because if your site is made for webmasters, i'd like to say to you webmasters don't click the google ads, i don't know why but it's a statistic. Reinaldo.
As long as you don't amend the code given by adsense ads, you are OK. Yes, reinaldo83 is correct. I'm a Webmaster and I don't click the ads directly. If I'm interested I look for the link and access the site.
If you are using the exact Adsense code provided by Google, there should be no problem with it. Never try to click it to test.
OK no clicks but what's the traffic? Be patient, work on the traffic and you will see clicks in a few days.