The lamp module may have been tested but not reset during manufacturing. Try "removing" it first, and then adding it in. "Removing" it will reset it if it's on another network, like the one they use in the production line.
If that doesn't work, try putting the USB stick on an extension cable and placing it about 4-6" from the device and see if that works. Or as a last effort, use a remote to set up the network and then add the computer using the remote.
Also, be sure to download the latest ThinkEssentials software:
http://www.controlthink.com/downloads/thinkessentials/setup.exe
The current verison is a free upgrade.
Chris