Find My iPhone - Macbook Pro - How does this work?

Is your Mac is "ON", "CONNECTED" to a Wi-Fi network, and iCloud already setup under System Prefs?

Provided all the above have been done, and it still does not locate, there's a deeper problem. Make sure you have all the latest software updates.

However, if you mean your Mac won't come up when it's OFF/Sleep Mode or not connected to Wi-Fi, then naturally it won't be located as there's no way of sending/receiving a signal to the Macbook. In that case, you might need a way to remotely start/wake your Mac and make sure it's connected to Wi-Fi.

In order for Find My Mac to work, you have to have OS X Lion, and you have to have Location services enabled from:
System Preferences>Security and Privacy>Privacy

If you have your laptop stolen, in order for Find My Mac to work, you have to have a guest account enabled, and allow that account to use safari, so that a network connection can be established. Basically the safest way to use your computer is to have an EFI password, an account password, automatic login disabled, and have the guest account active.

Does that all make sense? It does in my head....