Bird Seed

I am hoping that someone reading this can give some advice as to what kind of bird seed to use to attract the smaller, non-messy birds, if there is such a thing. My mom and dad gave me a mesh hanging type feeder and said to get some thistle seed. Well, we bought some of the seed but have not seen any birds around the feeder at all in the past couple weeks that it has been hanging. Does it just take some time for the birds to check it out? Is there something else I am not doing correctly? Help me if you can.