The heads contain something akin to a set of bellows I think. Basically as the room gets warmer, the 'bellows' start to expand, pushing down on a pin in the valve, shutting off the flow of water into the radiator.
However, these pins can stick shut. As Kev said, the head might be set on 5, the 'bellows' could be open, but as the pin is stuck down the water cannot circulate through the radiator.
Carefully remove the head, and you should see the pin. Try pushing it in with your finger. If it seems solid, then tap it gently with a small hammer, this should free it off. When the rad is working, refit the head.
If this doesnt work, come back and we'll try and see what else it could be!