Is your site available to the outside world (system is on and no passwords or funny business preventing people from accessing your test site?).
Have you followed the instructions here? https://exp-resso.com/docs/payment_gateways.html#worldpay
You need to make sure the payment response URL in WorldPay is set to <wpdisplay item=MC_callback>.
(I'm with Vector; we make CartThrob)
There are two scenarios:
You do the authorization with CartThrob, but do the capture later in the Worldpay admin interface. This would require a change to the payment gateway but it's very quick; it would just need the addition of a line or two to the plugin.
You do the authorization with CartThrob but then also want to ...
WorldPay's hosted payment confirmation pages (successful or unsuccessful) won't automatically redirect back to the EE Store order confirmation page under your own domain, if the callback (Payment Response) is unsuccessful.
If your orders are appearing as Order Status New in EE : Store : Orders, the callback should be working OK, but if they're marked ...
Ok, this has been resolved now!
It turns out that the cause of the problem was an index.html holding page not allowing the redirection to take place. A simple fix in the end (remove the html file), which would have been easier to spot with the transaction log data from WorldPay that they failed to send after numerous requests.
Anyway, hopefully this answer ...
I think almost certainly this is an issue with IIS request validation. This is a different cart, but similar issue and the solution should be similar: