I can't tell what connector that is from the picture. It's either a 510 or 808 threading.
You've got a couple of options, if you are certain that you can not return what you already have.
Spend a few bucks on some Boge blank cartomizers, probably 2.0 - 3.0 ohm standard resistance with some e-liquid of your choice. If what you get don't fit, either buy an adaptor connector or buy a few more cartos in the other threading.
There's a ton of places to buy empty cartomizers online. Not promoting any of these, but examples are Got Vapes, Mad Vapes, My Vapor Store, Hoosier Cigs,
The other option is to start fresh with another company that is more reputable with higher quality products and customer service. I started out vaping with Smokeless Image
Smokeless Image | Only The Best Electronic Cigarette | Smokeless Image Electronic Cigarettes - The Future is in your hands
and it is a popular choice here at ECF. All of their products sold are compatible with each other, so you don't have to worry about will this device work with that (they use 808 threading). Good customer support and fast delivery.
They also have a sub-forum here with customers that are more than willing to help with questions and give support. Imagine is a company rep who also answers questions there. The are video demo's and reviews in the upper stickies to help you choose what products to get and how to use them.
Smokeless Image
If you are not dead set that your device has to look like and be close to the size of a cigarette, I'd recommend jumping up in class to an ego device. The bigger the battery, the better the device will perform and you'll be much more satisfied. Just one vendor that happens to sell these:
http://altsmoke.com/