Most of the early flowers that develop on pumpkins, squashes and cucumbers are male, and won't develop into a fruit. As the season progresses, female flowers mix in among the male ones, and late in the season, female flowers predominate. You can tell the difference between male and female flowers by looking closely at the base of the bloom. A male flower is borne on a slender stem. Female flowers have a swelling that looks like a miniature pumpkin or squash fruit.
It's also possible that your pumpkin blossoms are not getting pollinated. If your plant has numerous female and male blossoms, but still is not setting fruit, try hand pollinating the female blossoms. Take a small artist's brush and dab it into the male blossom to pick up pollen. Transfer the pollen to the female blossom to effect pollination. If the bees don't do it for you, you can take on the job yourself!