As Alabaster_xfire mentioned above, the most likely cause is that the bulb isn't sitting correctly. Be sure to align it with the little metal tab on the bulb unit facing the correct way, and ensure it's seated in its slot. Once you're sure it's in correctly, reclamp it with the clip and you should be good to go. If you're having trouble keeping it in place, try holding it steady by applying a little pressure to the tab with a small thin stick - that'll keep it in place and allow you to close the clip.