Hello Gaitt,
It looks to me as you have received one of the unprogrammed boards. I was shipped 2 of them direct from the Arduino online store, and after quite a few complaints and emails, they did send me replacements. I did manage to get one of them working, the other I bricked by making a dumb mistake while attempting to program it.
It is possible to program it yourself, thought it requires quite a few steps, that are poorly documented for the novice, downloading several programs and requires an ISP Burner. I used a Pololu USB AVR Programmer. I have documented my steps I used to get it to work, after spending many many hours researching what was required. So if you want to attempt it I can send you my tips. However, if you make a mistake and set the wrong "fuse" you will permanently brick the board, or at least require a high voltage burner to attempt to fix that problem, something I didn't bother with as it required yet more research and another type of burner I don't currently have. I did it as a learning experience and challenge. I don't claim to be a Arduino expert, but simply speaking from my personal experience.
Ideally you should simply complain to who you bought it from, claim you received a faulty/unprogrammed unit, and hope to get it replaced.