Update: test networks doesn't use PoW anymore, but PoA. You have to ask money by faucet. You could use metamask for Kovan:
- Rinkeby PoA: https://faucet.rinkeby.io/
- Kovan PoA: https://faucet.metamask.io/
You could use metamask for Kovan too. Just install metamask.
Outdated: In Ethereum-Wallet, there iswas an option for CPU mining in the Develop menu. Use it to mine ethers (and win ethers). If you can't mine, you should have a problem (probably network). On Homestead (the production network), cpu mining is inefficient.
Otherwise, i recommend you to create your own private blockchain. You could use our script to build one in two lines: https://github.com/regispietra/CreatePrivateEthereum With this script, you install a blockchain and can use Ethereum wallet.