New Duet - no input, no lights

My wife and kids gave me the Pro Tools / Duet package for Father's Day. I have been through the installation and my computer recognizes the device. I can play through it using Windows Media Player and can also use it with soft synths in Sonar Platinum (that's where I was trying it out because I don't know anything about Pro Tools). However, I cannot use it as an input device (tried plugging my Stratocaster into it), and no light has ever lit up on it. Have I missed an installation step (seems unlikely since the device works for output), or do I appear to have a defective unit?