If you have received an order notification, but no payment notification nor receipt (when you normally would have), then this generally means the customer did not complete the transaction. Perhaps they changed their mind, or possibly they are short of funds. Perhaps review your "payment declined" page (instructions here), do you have alternative payment options available? Is the the message warm a friendly - encouraging them to return and procede?
If you have worldpay or paypal payment gateways, then you should have got a payment notification by email, shortly after you received an order. If you don't receive the email then it is likely that the customer has not paid.
If you use any other payment gateway, then payment notifications will only happen if you have setup a payment callback previously. In most cases we would have done this for you, but if you are setting up your site yourself, then you may have been overlooked. However, the internet is imperfect, and emails and callbacks do not always happen.
You should login to the administrative function provided by your chosen payment gateway at least once per week and check for any missing transactions.
When reconciling with your payment gateway, note that the existence of a transaction does not mean that it was "successful". You should check or filter by the status of transactions. If there is no matching transaction whatsoever, then this means that the internet probably lost its connection in the few seconds after the customer clicked submit, and the payment page was supposed to appear. If this kind of problem happens persistently, then perhaps something has been setup wrong. This is a fairly rare occurence though.