Did you get some kind of instruction manual with it? If so, did it give information on the charging procedure? Somewhere during my quick searches it mentioned giving it a full charge before using, but not sure that would matter here.
There were also some question as to whether it took 3 or 5 clicks to turn it on/off and something mentioned 3 clicks to lock it. If there is a 3 click lock feature, it may be that you are never getting it unlocked. See if your manual says anything about that. You might try 3 quick clicks and see if it does anything.