Well, you're in luck. I've actually tried making a wireless sensor bar for the wii, and thus have some good experience with IR LED's. Also studying electrical engineering. That could help, too.
You do have to be careful with LED's, as they do have a positive and negative lead. See here:
http://www.electronics2000.co.uk/pin-out/led.phpIf you have the current going in the wrong direction, the LED will not work. I had that problem with my attempted sensor bar (turned out that my LED's weren't bright enough: if the room was completely dark it actually worked). Easiest way to check is probably to switch around the battery. Hopefully this is the only problem, and this simple switch will fix it.
You also should probably get a small resistor and throw it into the circuit. LED's have next to no resistance. And without resistance, you're practically just shorting out the battery. This will lead to low battery life, and the battery can actually get quite hot and could be a fire hazard (unlikely, but possible). The resistor will provide the, well, resistance, needed to get the current moving safely. Do you happen to know any specs on the LED you bought? Most important would be the forward current. If you know the rated max forward current, you can calculate out what size resistor you need so the current is what you want.