With a manual transmission, you normally don't have to change the transmission fluid. Check your fluid levels if you are experiencing hard-shifting issues. In cold weather, if you are experiencing hard-shifting you may need to change the transmission fluid.
With automatic transmission, you should change the transmission fluid every 30,000 miles. If you have a newer car, the recommended mileage to change your transmission fluid is 100,000. With automatic transmissions, it would be wise to change the transmission fluid every 30,000 miles and save yourself the headache of a transmission failure in the future.
When you turn the key and nothing happens, usually this is an indicator of problems with the battery, starter or solenoid. First, try getting a jump for your battery. If your car still doesn't start after a jump then your problems are most likely with the starter or solenoid. You need to have your car towed to a mechanic.