I don't know why people keep saying you need to press "down". Looking at the Wiimote with the blue lights at the bottom (so all the text is the correct way up), I need to press the topmost d-pad button (i.e. the one nearest the power switch) to activate the harp. I'd call that "up"
This may be setup dependent, but to find out for sure, follow the instructions below:
If you're struggling with particular controls, on the (1) button menu
where it shows you all the tablets, pieces of heart and other assorted
carried items, there's an option on the bottom left to set the
interface to "Standard", "Light" and "Pro".
While it may feel all manly to go for "Pro", what this controls is the
HUD on the right hand side when you're running around.
Switch it to Light and you get to see which d-pad button controls
what trick such as Hints and the Harp, what A does, and what the
(-) and (+) buttons do.
Switch it to Standard and you get to see the entire WiiMote, which is
really handy when you feel like you're missing a trick.