Bump mapping is done at rendertime (as darkware said) someday maya will be able to do real time bump mapping but not just yet!

If you follow what darkware said but use a displacement map instead of a bump map the actually profile of the geometery will be affected rather than just the normals (which is what bump mapping does). This might give you a better effect than just bumping it, but it will take longer to render.

Keep trying and dont give up you will get it eventually!

Alan