Contact LH straight away... They will resend you one and probably ask you to get rid of the faulty one!
Also, make sure you have put the batteries in the right way round... ive made that mistake before...also maybe try giving it a gentle shake, see if there is a loose connection??
Easy mistake to make, especially if you are in a bit of a hurry to get it going I've found some toys have a removable slip inside which shows which way up the batteries go but that could easily fall out and be put back the wrong way by accident.