Overhead door doesn't close with one sensor not lit
Both sensors will show a light if they're 1) connected correctly, and 2) sending and receiving the beam because they're in alignment. The lights may be different colors. This is normal.

If one is out, first check alignment. There are often wingnut adjusters allowing you to swivel and tilt the sensors. They don't have to be perfectly aligned, but they need to be close. 

Then, check wiring for damage and connection. Typically the whites connect to one screw, and the blacks another. The whites may share a screw with the white from the opener button.