Possible explanation: The throttle is set to 0.

Note: The following bug has been fixed in version 050731.

At the beginning of the game, the plane's throttle is set to 0 (I admit this is unrealistic considering the plane is already in the air, but... well, I'll fix it in the next release ;-)

Thus, the first thing to do is to set the throttle to 100% by pressing the 0 key (on the keyboard, not the numpad).