If it is brand new and not working then I would be taking it back to where I bought it from.
If that is not possible then the problem could be a couple of things but is most likely to be something blocking the jets. At the top of the generator there is a tiny hole on the last bit (The jets) that the fuel sprays out of. Also inside the centre of the generator is a thin rod with a tiny needle on the top that goes inside the tiny hole on the jet to stop the fuel coming out until you turn the lamp on. (The on/off dial is linked to the bottom of the thin rod.)
When you pressurise the fuel it flows up the inside of the generator around the thin rod, waiting for you to open the valve by turning it, which then lowers the tiny needle from the pin hole. If the fuel you have put in had a bit of dirt in it, then it can block the pin hole, which is why you are provided with a funnel with a filter in the bottom for filling the lamp reservoir. Did you use this when you put fuel in the lamp?
The generator can be removed and the jet off the top removed to clean, although you need to be careful when you replace it, otherwise you can damage the fine needle.