OK, things to check - and sorry if some of this is teaching granny to suck eggs:
1. You have the subwoofer connected to the preout subwoofer output (almost top right on the rear panel when viewed from the rear) - people often connect to the subwoofer socket on the mulitchannel analogue inputs by mistake
2. The subwoofer output is enabled in the Sony's speaker set-up menu (Press Set-up, turn the jog dial to Subwoofer, select yes)
3. The subwoofer is actually working: check it's powered up, the right inputs are selected (where it has a switch), the power is set to on (and not 'auto' where this is offered as an option), and the gain control is turned well up.
4. (And this one seems really crude, but...) Unplug the subwoofer cable from the receiver and touch the plug on the end of the interconnect with your thumb and forefinger, pinching it so you contact both the outer conductor ring and the central pin. You should hear a buzz from the subwoofer: if you don't, then either the subwoofer is faulty or not set correctly, or the cable is faulty; if you do, then the problem is in the set-up of the receiver.