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Hold the home button and the lock button together for at least 10 seconds. If it doesn't do the work, connect it to iTunes and "Restore" the device. If your device is not shown in iTunes take it to an Apple Store.
Plug in the cable to the wall and then plug in the phone. The phone battery may be so drained it needs to charge up to even turn on. If that doesn't work take it to an Apple Store.