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With IIS, the first thing to do is to check the Windows Event Log. If you access a site with the filter installed, you should get event log messages saying that the filter initialized. If so, the filter is running, and there's a decent chance permissions are ok. If not, I'd start by making sure that the anonymous IIS user (IUSR_<machine>) has read access the \opt\shibboleth-sp tree. There may be other accounts that need access also, if you have ASP.NET AppPool identities configured.
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The rest of the protection trickery is in the <RequestMapper>. If you did all the above, but it's still not triggering for you, you've got something wrong in the map. Make sure you have the requireSession="true" attribute placed into the right <Host> or <Path> element for your choice of host or directory names.
Logging
If you still have no joy, the next step is to try collecting some logging detail. You need to raise the native logging level to DEBUG by editing native.logger and changing the default INFO level to DEBUG. Then you'll want to restart IIS. You should get more verbose information in the native.log file.
It will include a line each time you access the site that tells you what URL has been "mapped" by the filter. If it doesn't look right, you should get a hint on what to fix. If you get nothing, despite raising the level to DEBUG, then the filter isn't running, or isn't configured to process requests for the affected site.
Apache
Before getting into debugging, please make sure to read the NativeSPApacheConfig topic thoroughly and make sure you understand it and that you've done the necessary setup work.
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