No, don't worry. It probably means the HR department are following the rules and advertising the job and interviewing people, but actually the company/boss etc. actually has decided to fill the position with someone already employed who they have molded to their satisfaction.
That and the credit crunch is making people incredibly nervous about hiring. Usually they can get away with offering an internal a lower salary than they would have to offer to a new person. If it's someone coming through a company scheme their salaries can be capped/structured meaning a large discrepancy between their pay and that of outside hires. (a close friend of mine was in this exact position. She was on a grad scheme and her salary was capped, yet her exact job was being advertised at a salary that was well in excess of her own, about a 1/3 extra! Obviously she put her foot down and luckily this was just before the credit crisis hit so she got a raise, but you can see why companies would do it).
I need to start looking for a job ASAP and it's looking a bit bleak. I've decided to take the view that I'll probably get turned down loads based on sheer number of applicants, so I've just got to keep trying. Once you've secured one job, you're always employable after that.
Good luck!