Don't tell us which device you bought, that might be helpful.
A blue light means it has power. They yellow light means it's battery is low. Try removing and replacing the battery, then recharging it (with the power turned off).
Another option is that there is a function to sync it with a USB receiver. Typically this is done by pressing FN+F1. Once you do this with the receiver unplugged the blue light starts blinking, and when you plug the receiver back in it syncs. It could be that you accidentally pressed FN+F1 (it's very close to the FN+F2 that you use to turn the backlight off and on, and so is easily mistakenly pressed).
Turn it off then back on again
No documentation?
Maybe it needs charging?