This generally indicates that you have a javascript error that is preventing UberMenu from running its script. To troubleshoot this, install Firebug or use Chrome Developer tools (F12 in Chrome) and load the page with Firebug activated. Look at the console for any javascript errors. Here is an example:
The errors above are unrelated to UberMenu, but prevent it from working properly. Most often, these types of errors result from poorly coded Plugins or Themes. They need to be resolved.