Assuming your using XP it should just be plug and play (meaning it should work as soon as ya plug it in). Just to be on the safe side if there was a CD with it check the disc for any specific software or Drivers it may require in order to work correctly.
If you have already done this, then i would check it on a 3rd PC to be sure, if it still doesnt work on the 3rd PC (a friend or families) then i would probably assume the pen drive itself if faulty, if it has a green light that would suggest its getting power from the USB port but if the memory chip inside is faulty then you wouldnt be able to read it (such as your currrent problem).
If all else fails, best to return it to where you got it, get them to test it, if its found to be faulty then they should replae it with a new one.
Hope this helps :)