Mine did this too.
Check the SD card is working and that a screen is plugged in. Might also be worth checking the card is on the list of ones known to work.
If it is try re making it with a fresh image.
Mine is at home so I can't check.
EDIT did you actually make a disk image on the sdcard ?
http://www.raspberrypi.org/quick-start-guide
EDIT2 - Just did a quick check on the forums and very few seem to be faulty so stick at it - apparently returned units are turning out to be OK most of the time.
The most likely culprit is the SD Card or the SD Card writer. If you have a multi-card thing it might be worth trying that. I have 3 laptops at home (people just keep giving me their old ones) and only one of them (ASUS 1201N) can write a working card image - my work Dell and semi-desktop ASUS laptop won't most of the time.
http://www.raspberrypi.org/phpBB3/vi...p?f=28&t=20830