That stinks! Somethimes a good inspection of the contacts can help however if one is slightly bent over too far in one direction in devices where you have plenty of room. But in these compact units you are stuck with the "it works or it doesn't" type problem when it won't light up any!
Be sure to double check yourself on how they went in as well not having put them in reverse direction or they certainly won't work even if the meter does work as it should. All it takes is one of the two to be in the wrong direction to prevent it from working.
Make sure the brand of battery is good not just working batteries as well since lately I find more and more that leak in the double AA and triple AAA catagories! The battery acid will gum the works at times.
An update on availability of the exact same ohm meter I have here found at another vendor in case anyone is still looking for one. This newer vendor includes a pair of AAs with the meter but I would still recommend getting a pair of Duracells or the new Duracell Quantum batteries now out.
http://www.vapercompany.com/Ohm-Meter-p/s6meter.htm