How to setup a Drush Alias?
It's difficult to answer your question without some concrete specifics. But i went ahead and provided you some common troubleshooting tips when i was in your shoes a moons ago:


Visit the latest readme.txt: It's named that for a reason. I've never read a more helpful readme.txt in terms of contributed modules. Of the best. There's a section relating to site aliases as well. What you have to do for it to work etc.
Review Documentation: First off, please review the Drush documentation which provides great examples of how to create a site aliases.
Copy an example: Also, the maintainers created some awesome examples for a example.aliases.drushrc.php file. In fact, theres a whole folder regarding this that you can copy and paste examples.


Debugging Drush

Additionally, here are some cheap tests to confirm that your site alias is working:


Try running drush status a drush status will show which you which alias file is being read in. 
If that's not enough review the drushrc.php file. I would turn on verbose output to figure out how drush is failing.