Nope. You definitely should NOT be worried. I don’t know where you’ve applied, but most colleges do not make admission decisions in just a month. If you have friends who applied to this same college when you did (or even AFTER you did) and they have their decisions already, it’s probably completely random. So don’t read anything into this, as tempting as it may be.
Did you check with the admission office to make sure that all of your application materials arrived safely? I always recommend that students do this about two weeks after applying. If the college has not notified you already that your application is complete, then it’s advisable to telephone the admission office and ask. Most colleges do NOT notify students when all application components have arrived so it’s fine for you to make this important call.
When you make the call (if you haven’t done so already) it’s also fine to ask when you should expect your decision. Obviously, you shouldn’t sound as if you’re irked that you haven’t heard yet, but merely explain that you’re curious … and excited … so you want to know when you should be on the lookout for your news.