Likely cause: You have not yet placed your character on set.
Solution: In order to have a character partake in a scene, you must first of all place her on set. Left-click the ground anywhere on set, and choose Place here from the menu that appears. Your Currently Selected Character will appear on set, in the place you clicked.
Likely cause: Your character is currently outside your viewpoint.
Solution: If you have already placed your character in the scene, but not cannot locate her, double-click her name in the Character’s Pane on the Director’s View. Your viewpoint will move to focus on the character.