There should be at least 2 thermal overload switches - one in the heat exchanger area, one in the box where the flue connects.
You should be able to see the flue switch, the heat exchanger will be buried up in the case, but 2 wires should exit the case near the top of the exchanger.
It's possible on newer models that all these wires are buried up inside - I dunno.
The switches are wired in series into the main gas valve. Check each one across the poles with a continuity tester - at room temp, they should show no resistance. You could bypass these switches to test, BUT DO NOT LEAVE IT THIS WAY - they are a vital part of the control systems to prevent a runaway furnace in case of a thermostat failure.
Also - you need a signal from a thermostat to trigger the gas valve to open and ignite the burners - check to make sure the transformer is putting out (I think) 24v. Older units have an external transformer - newer models I believe have the transformer integral to the control panel, which is probably inside the case.
Finally - make sure the gas valve is turned to "on", and not just "pilot". Some of the valves are hard to read as to what is "on" and what is "pilot".
Hope this helps.