You need to prime the filter housing before it will run. The first part of the set up is almost self explainitory...it's difficult to put it together wrong. You can lift out the intake tube and pull out the impeller housing and make sure it's not in a bind.
After you fill it with water and turn it on sometimes if the plastic molds were not in tight spec you might have to hold the intake tube down so that it creates a better seal to get the suction needed to get filter going initially