Did you put fresh batteries in it? The batteries it ships with are often discharged.
About a week or so ago I got a YongNuo/Jianisi PT-04TM. Sure enough the batteries in the Transmitter was discharged but I had the some 23A lying around so I could put in a fresh set. And its works great, tooks about 10-15 shots and then put it away waiting for a better time to use them.
Here is the problem, today I wanted to show how it worked to a few folks and it once again the transmitter was dead. I had to change out my freshly installed battery and put in the last spare one I had (these are for my garage door opener remote).
So how do you TURN OFF the transmitter??? Is there no way around besides unscrewing it and physically removing the battery?