I tried to retrieve my money from Western Union but was told there was nothing for me.

It might be the case that your money was sent, but it can take up to four (4) business days from the date it was sent to be available. Ensure that you are going to an authorized Western Union agent by looking up locations near you on the Western Union websiteYou can also check the status of your money by contacting Western Union. Please have your MTCN tracking number ready.