This happened to me a couple of years ago. You need to take action quickly. Have you moved out or are about to move out? The money should have been put in one of the 3 deposit protection schemes and not kept by the agent. You should have a receipt of the money being protected within 30 days of you moving in. You'll need to double check that you got it and also just check what type of tenancy agreement you have. Most people nowadays have a shorthold assured tenancy which is the one I'm most familiar with.
Really get on this asap, you'll have more problems getting the money back if you wait. If the money wasn't protected you can go after the agent or the landlord. Just check this and keep us updated.