Hey Jenny,
You can read around about the connection points on many threads in here too. If your anxious to try it out I know you can pick up some disposable CR2 batteries at Radio Shack. But I have run into it not working or thinking it's not working on a few occasions and then after checking the 3 points it's back to screaming again!
1)Take the batteries out
2)Take the atomizer off
3)Unscrew the adapter
4)Make sure that the switch is seated correctly
5)Make sure the button on the top of the switch is centered
6)Put the switch back in and then the adapter on tightly.
7)Batteries back in and the battery cap on tightly.
8)Atomizer back on and see if that works.
Sometimes I have to do this a couple of times because I didn't get the adapter on quite right or on too tight. But by far after trying a SE Gold, kissbox, 2 Janty Sticks, and my Prodigy. The Prodigy is the best devise that I have. So if reattaching everything and oh yeah clean the threads of the adapter cap and the metal housing too. Sometimes that can be the culprit as well. But if any of this doesn't work then it's probabally your batteries. Hope this helps!
Gunz