Don't know the brand, but it looks like you did all the right things and just have a dud on your hands. Definitely try to exchange it, if you can. As was already said, if you're serious about starting out with ecigs consider buying a good starter kit online. Here are the two options that are most recommended, from what I've seen:
- Smokeless Image Volt (smokelessimage.com)
- a mini, analog-look-a-like with great reputation for quality, flexibility and customer support. Plus the price is on target and plenty of coupon codes available to get it cheaper. Among the analog-style e-cigs, this is the brand that even pros with $300 devices generally agree is worth a purchase if you're starting out. Other good/similar brands include Smoov and Bloog.
- Ego/Kgo (various vendors, but hoosier ecigs sells a well-regarded Kgo kit you should look at:
http://www.hoosierecig.com/KGO-kit-1100mAh-by-SLB_p_10.html)
- not analog-style, but bigger with plenty of power to last about a day (depending on use) and many options for atomizers, carts and other devices that will work with it as you get more and more into vaping. Maybe something you'll want to try a little later, but if you're not necessarily looking for something that "looks" like a cigarette, it's worth going straight for this.
Whatever kit you decide to buy, make sure it comes with two batteries so that you're never without something to vape. And, of course, be sure to pick up enough juice to hold you over for a bit.
In the meantime, you might consider making a stop at Walgreens (if you have one close) and picking up a Blu cig disposable (don't buy the kit). They're not the "best" or even great, but I found them to be more than decent (enough to help me quit smoking) and cheap/convenient enough where they make a great backup plan. The juice in it is American-made Johnson's Creek ejuice which is great. Again, this isn't a long term solution, but should hold you until you get a Volt or something else.
Hope this helps.