Before you can render a smoke simulation you need to run the simulation once.
To do that go to the first frame and press AltA (or the play animation button on the timeline)
Pay attention to the gray bar being created at the bottom of the time line, it will show you the frames that have been cached.
So the key thing to learn is that the information for most simulations (smoke, physics, particles, etc) has to be created and cached first. Otherwise blender has no information to be rendered.
Also, any changes made in the simulation will require that you re-cache the whole thing.