well(no pun intended), since it's a new house, did you get what is known as a 'well disclosure' with the house from your real-estate agent? Most states require one with the sale of a residence. Basically, that gives you the information about the well. Contact your real-estate agent and ask them, if nothing else they can put you in contact with the previous owner.
As mentioned before, there are usually two types of wells. A shallow well, and a deep well. A shallow well is usually serviced by what is known as a 'shallow well pump' or a 'jet pump'. Find the well in your yard ( or in some cases, it's in the basement). Is there a building of some sort built over it? If there is, look inside and see if there's a tank with a motor on top with piping attached to a pipe going to the ground. That's a shallow well, with a shallow well pump. There should be a pressure guage on the tank, and it should show in the neighborhood of 35 psi to 60 psi. If it shows 0, and the pump isn't running, there's your problem. It could be a simple thing like a pressure switch(a switch that senses how much pressure is in the tank and dictates when to turn on the pump) or the motor or pump itself could be bad. Check fuses first, then if you still have no luck, try plugging the pump into an extension cord to a different outlet that you know works, if there's a standard plug in on it. If the pump is running, and no pressure, it's cheaper to just go to the hardware store and buy a new pump. You can first try to prime it, there's a square plug looing thing on the top of the pump (the cone shaped end) That you can dump water in. As you do this, if water starts shooting out, then you've successfully reprimed it. The sound will noticably change, and you'll have water in no-time. Otherwise, go buy a new pump(just the pump, you shouldn't need a tank).
If there's just a pipe hangin' out in the middle of the yard somewhere, with a small conduit running to a cast iron cap, then you've got a deep well, with a submersable pump. Inside your house there should be a pressure tank. It's where the plumbing comes into your house from the well. Find it. Get a tire pressure guage, if there isn't a guage already installed on it, and check the pressure. Again, you're looking for the 35-60 psi. If that's not there, then you can pretty much go through the same steps as a shallow well pump(without the priming part, obviously). There should be a pressure switch on or near the tank. It's a small square box, with wires or conduit coming out of it, and it's plumbed into the tank. Try replacing that first. If that doesn't solve your problem, then you'll have to look into getting a plumber or well driller in to replace your submersable. I wouldn't reccomend that task yourself.
Oh, if you have pressure, in a deep well, and no water, then there is a possibility that you have a bad pressure tank.
One last thing....If your water filter is plugged, you won't have water either....Check that too. It's a large jar looking thing with a pipe coming into the top from two sides.
Hope this gives you a few ideas!