Double-check that you've actually enabled Signal Tap in the Settings dialog box. You may have the .stp file but if that checkbox is not enabled, the logic analyzer won't get included in the design. I'm presuming you're using the usual .stp file flow and not manually instantiating Signal Tap into the design.
In the project hierarchy, do you see the Signal Tap and related IP (like sld_hub or auto_fab) included in the project? If not, this is a clear indicator that it's not been added.
Are you adding pre-synthesis or post-fit nodes to the logic analyzer?
What hardware connection are you using to your device? I presume a USB Blaster, but confirm that you're using the same JTAG connection for successful programming as what you're using for Signal Tap.