The blue LED goes on when using it correctly. Each inhale should yield a blue light. If you are not getting a blue light, do this:
1) First cover the vent holes while inhaling gently, then remove your fingers (after about a quarter of a second) and the light should be on, thus activating the battery to heat the coil.
2) Once you have gotten the 'cover the holes' technique down, try using the product without covering the holes. However, you need to drag a little differently. Take a very short, but strong drag followed by a normal drag of your choice of intensity. The short, strong initial hit will activate the device and heat the coil. Your normal drag that follows will take advantage of the warm air and flavor.
This takes some time to get used to, but when you get it down it's very satisfying.
Enjoy.