What does “not working” mean? Does it mean it doesn’t do what it’s supposed to do? Or does it mean the shortcode displays as unparsed (i.e. you see the raw shortcode in the content)?
If it’s the latter of those two, then that means one of two things – either you don’t have the WP-Members plugin installed and/or activated, or you’re using the shortcode in a place that does not parse shortcodes. WP themes do not all parse shortcodes in every area (menus, sidebars, footers, headers, etc) so if that’s the problem, you probably need to check with your theme support to make sure you can use a shortcode where you’re trying to use it.