16-channel relay board LEDs lighting but coils not activating

I have a SainSmart 16-Channel Relay Module hooked up to my Arduino Uno. When I have the +5v and ground wires connected from the Uno to the board, the red activation indicator LEDs next to the relays light up, but I cannot hear the click of the coil being activated. When I plug a 12V wall-wart into the 12V and ground terminals on the relay itself, the whole thing shuts off whether or not the Uno's +5v and ground wires are connected.

I have a series of lightbulbs hooked up to the relays. When the wire is hooked to the NC terminal, the lightbulbs are illuminated regardless of what the relay is doing (the power is bypassing the relays and creating a closed circuit..?). I imagine if the relays were activating properly, I'd have to plug the bulbs into the NO terminals and the relay switches would close them for me.

Here is the module I have:

Better pictures here:

update: I have seen several people saying that there is a jumper connecting the voltage from the Arduino to that from the 12V adapter and that it needs to be pulled out. Can anyone point me towards that?

Sorry for what is probably a stupid question, but I am not well versed in this stuff at all.

Thanks so much for any help you can offer.

The relays need 12VDC to actuate. Each relay needs ~ 30ma to energize, so if you are trying to use all of them at once, the 12VDC supply should provide at least 500ma to the relay board. Connecting to the NC terminal will result in power being supplied to the load while the relay is in the normal, non-energized state, so you are correct that you should be connecting to the NO terminal if you want the lightbulbs to come on when the relay is energized.

kd7eir:
The relays need 12VDC to actuate. Each relay needs ~ 30ma to energize, so if you are trying to use all of them at once, the 12VDC supply should provide at least 500ma to the relay board. Connecting to the NC terminal will result in power being supplied to the load while the relay is in the normal, non-energized state, so you are correct that you should be connecting to the NO terminal if you want the lightbulbs to come on when the relay is energized.

At least I had something right...