Did you try to configure this while plugged into the arduino or the PC. If arduino then was the shield configured for UART or D2/D3 pins.
What sketch did you use to try and configure it (assuming arduino connection)
Did you flip the DIP switch before powering the device on?
The manual you linked to says...
The current version of the module only supports AT commands used to set the baud rate.
The default baud rate for this module's AT mode is 38400bps. For regular use, the default
baud rate is 9600.
What baud rate are you trying to set?