Few things to try/consider
Sometimes it can be hard to tell what your sub is doing unless you listen without it, so you might try listening a medium volume to something with some good bass with the sub powered on and then turn off the sub with the main power switch and listen again. If you still hear no different at least that is eliminated.
On your receiver even if the source is not surround sound, say it is stereo, you should be able to pick a mode on your receiver to simulate surround that will also kick in your sub regardless of the source. If there an indicator on your receiver then look at it and see if it shows it is in surround mode and using the sub. This will eliminate the source material as the issue.
Put your subs "auto-on" switch in the "Normal" position.
After that you are pretty much down to connections, make sure the Line-In on the Sub is hooked to the Sub Out on the receiver and not some other Line-Out.
If you still get nothing, you might take it to where you bought it if you can an ask them to hook it up and see if it works for them.