Try to produce a sound from your flute. Place the embouchure hole on your lower lip, purse your lips, take a deep breath, and blow. It will not happen straight away so be patient. Try moving your embouchure hole around. Practice in front of a mirror and look at the shape of your lips. Your embouchure should be about the size of a drinking straw and shaped like a circle or teardrop.
Here's a neat way to work on producing sound:
Press your lips together. Roll the lips inward, so that there is no pink showing.
Kiss your flute--place the embouchure hole completely against your pressed lips, so that you can feel the full circle around your mouth.
Roll the flute away from your lips approximately 90 degrees, so that the embouchure hole is now level with the ceiling.
Holding the Flute:
If you are comfortable holding the flute right handed then first three holes should be closed from the fingers of the left hand and the last three holes should be closed from the fingers of the right hand.
Similarly if you are comfortable holding the flute left handed then first three holes should be closed from the fingers of the right hand and the last three holes should be closed from the fingers of the left hand.
Playing the Flute:
1) Keep the embouchure hole and the fingers on their respective positions.
2) Play the flute with all holes open but all fingers in their respective positions.
3) Once you get the sound, keep the blowing constant and then close the holes one by one from the top.
All holes should be closed properly, even a slight air leak from the holes will affect the sound quality or sometimes no sound might come.