There is another possibility of why you cannot get FM from your antenna if it receives VHF (channels 2 to 14). Very strong nearby FM stations can sometimes interrupt the picture quality of VHF. Some antennas are design for this problem. They have a circuit that blocks the FM band (an "FM Trap"), or they reduce FM considerably. Check with Radio Shack about your model of antenna. If it has an FM trap, the antenna may have a switch to bypass the trap, so FM will pass through.
Secondly are you using a powered antenna preamp to boost the signal? These preamps sometimes have an "FM Trap" to block the FM signal. They usually have a switch on the preamp to turn it on/off. If you turn the trap off, then you should be able to get FM. If a antenna preamp has an FM trap and no switch, then you would need a different preamp. You can imagine what happens if you live in area where an FM station interrupts the TV picture, and then you add a preamp which boosts the FM.
For those looking for an all purpose antenna, make sure it sais it is for VHF, UHF and FM. It it just sais VHF/UHF only it probably has an FM trap.
There is a great selection of Winegard and many other brand of antennas and preamps of all types including FM only at:
http://www.starkelectronic.com/