If you have a voltmeter, check to see if there is output voltage. If your load is LED, you may have the polarity swapped (and you'll get no lights).
Other basic things to check are:
1. Is the Jumper in "Operate" rather than "Program Address"?
2. If you gave it an address, did you move the jumper prior to setting the address?
I have several of these and have done the above more than once.