actually improves on this. With Git versions ≥ 1.6.6, you can just do:
git fetch git checkout test (User masukomi points out below that git checkout test will NOT work in modern git if you have multiple remotes. In this case use git checkout -b test remote-name/test)
======old version=====
Before you can start working locally on a remote branch, you need to fetch it as called out in answers below.