What kind of payload are you using? If it is a simple tcp_backdoor then on the box you just exploited, open a cmd shell, run netstat -an and if you see TCP/4444 listening, then the problem is probably firewall related.
If you are using a reverse_tcp_backdoor, then my guess is that the victim is not allowing the backdoor to install/execute. Try a different payload.
Since you provided no information about your network or victim host setup, this is all I can think of.