new Arduino mega can't upload

I just got an Arduino mega but unfortunately it seems to be a page weight. I tried uploading the blink program but it says
"avrdude: stk500v2_ReceiveMessage(): timeout
avrdude: stk500v2_getsync(): timeout communicating with programmer
An error occurred while uploading the sketch"
its set to the mega 2560 board and the mega 2560 processor.
do these things even work or did I just buy a fancy paper weight?

I have that problem with my Uno. I noticed one message that said I had a problem with my firewall. So I am going to try it on a different system. It only told me that once. Most of the time, it just says "no upload"

@Requiredusername and @ricronkhite

Much more information if you could please.
See the sticky posts near the top of this section for the type of information that would help.