I'm thinking that you did not install a thermostat with the correct tempiture setting, ( all thermostats have differant ratings), the new one is probably to high of a setting and your vehicle does not get hot enough to close the thermostat so that the water can get hot. Instead it is staying open which alows the water to run continuous through your motor which causes the tempiture gauge to appear that it is not working, because it's not registering any heat to make the needle on the gauge to raise as the water heats up when the thermostat closes and when the water tempiture stays cool it will not produce any heat for the heater to work properly. Go get a thermostat that has the tempiture setting rated for your motor and vehicle. If by chance that you did get the correct thermostat for your vehicle then the thermostat you got is defective and does not work, which is rare, but it does happen.  Anyway I hope this helps you out, also talk to the personal at the auto parts store.