The Jam Lab Won't Work

Yesterday I had recieved an M Audio Jam Lab. But the problem is that it doesn't work. I Plug it in to the USB drive and it doesn't put out sound. I don't know why either. I have tried a million and one times to get it ti work and it just won't. The software works and the light is on when I turn it on but there is just no sound. Man I need some help.