Let's do a bit of troubleshooting before we deem it broken, shall we?
First step, check to make sure you have the proper polarities aligned. Positive to positive. Negative to negative.
Second step, slide each battery up and down to ensure both ends of the battery is touching the metal contacts in the case. The battery cases do fit a bit tight sometimes. Shifting the batteries around usually does the trick!
If the unit still doesn't turn on after completing the above steps, then please get in touch with us and we will be happy to offer a replacement unit.