A 2-3 month old iguana that isn't eating is probaby imported and stressed out, and could carry a lot of parasites.

Best thing you can do is make sure that your husbandry is right on (UVB light, 95 F basking spot, fresh water) and hope his appetite comes around.

A trip to a reptile vet with a fecal sample (if possible) may be in order to de-worm or treat any other ailments. When reptiles get stressed (ie being shipped out of their native habitat thousands of miles away) their immune system doesn't work as well. Chances are he has a coccidea infestation. Coccidea is present all of the time but kept in check by a healthy immune system.