The best answer I can give is to take the car to a locksmith & when I say locksmith, I mean a real locksmith. See if they can make a new key for your locks. If it's a newer car, you may have a coded key. You may have to go to a dealership to get a replacement key.
Are you sure you have the right key? If it's an older car, it may use a different key for the doors than it does to start the engine.
You might just need to lube the locks if they're sticking.
Changing the door locks can be a real pain because on most cars you have to have special tools remove the interior door handles, arm rests, covers & anything else that's in the way. Then you may have to work blind through an access hole that's not much bigger than your hand.