There is no need to send it back. The majority of what you bought is in the stand and the burner, and there is really nothing mechanical inside that burner to fail. So your issue is either in your tank or your regulator.....probably your regulator. They have some type of auto shut off in there and I'm betting that yours is shut off. If you are at all mechanical, do some testing with air on that regulator to make sure you have flow and you should be fine. If not, and you are sure your tank is ok, then you may have to send your regulator back or buy a new one (about $15...which is alot cheaper than shipping the whole unit back).